SquareSoft seems to prefer some sort of stealth compression algorithim that not on compresses it into .str or mbg format, but also seems to hide the file in such a way that most PSX video player programs get confused when trying to read 'em.
What I used to see them is a combination of two things:
1. A PSX movie player known as "PSX Tulz"
2. In order to read the .mbg files, you must have a ASPI layer that's relatively new, in order for the program to control the drive to where it can do direct sector reading, (whatever that is) which allows the program to decode some of the more exotic movie formats.
Now, if your ASPI layer isn't current enough, PSX Tulz will give you a message saying that it can't do Direct Sector stuff because of the old DLL files, but it will still function and decode and playback to an extent.
At
www.NGemu.com, there's a program called "ForceASPI" or something like that, that will install a new enough layer on your system.