If you want to do it on the cheap, and don't mind the slower speed, tmpgenc's a good app. I think my free 30 day version still works after a year.
If you're converting files with a .wmv or .asf or .wma file extension, change the extension to .mpeg first, before running tmpgenc.
If you have .vob MPEG, and want to convert to .mpg VCD to save space, run it through Windows XP Moviemaker first, as tmpgenc cannot convert .vob directly.
I've had eight tmpgenc re-encodings running at the same time.
You need a lot of disk space if you're doing capture from something like a VHS source - about 2.5 GB per hour of video with ATI TV Wonder Pro; up to 10 GB [!] per hour, if capturing with XP Moviemaker. The size of the raw capture file is inversely proportional to the quality of the video being captured, meaning that a crappy VHS source tape will create a bigger temp file than a good quality source would.