Have done it.
Result:

MPEG-PS: 2.1.3 MiB, 3s 360ms
1 video stream: MPEG Video
1 audio stream: AC-3

First video stream: 4944 Kbps, 720*576 (16:9), at 25.000 fps, MPEG Video (PAL) (Version 2) Main@Main) CustomMatrix/BVOP
First audio stream: 256 Kbps, 48.0 KHz, 16 bits, 2 channels, AC-3 (DVD- video)

Thank you so far.
Ketil

That's just the summary, although it helps.

Right-click on the file icon, select MediaInfo from the context list, and copy/paste the full file information. Thanks.

I´m sorry, this is new to me.
What about this:

General
Complete name : E:\Intern video\18.7.2011\M2U00112.MPG
Format : MPEG-PS
File size : 2.13 MiB
Duration : 3s 360ms
Overall bit rate mode : Variable
Overall bit rate : 5 305 Kbps

Video
ID : 224 (0xE0)
Format : MPEG Video
Format version : Version 2
Format profile : Main@Main
Format settings, BVOP : Yes
Format settings, Matrix : Custom
Format settings, GOP : M=3, N=12
Duration : 3s 280ms
Bit rate mode : Variable
Bit rate : 4 944 Kbps
Maximum bit rate : 9 100 Kbps
Width : 720 pixels
Height : 576 pixels
Display aspect ratio : 16:9
Frame rate : 25.000 fps
Standard : PAL
Color space : YUV
Chroma subsampling : 4:2:0
Bit depth : 8 bits
Scan type : Interlaced
Scan order : Top Field First
Compression mode : Lossy
Bits/(Pixel*Frame) : 0.477
Stream size : 1.93 MiB (91%)

Audio
ID : 189 (0xBD)-128 (0x80)
Format : AC-3
Format/Info : Audio Coding 3
Mode extension : CM (complete main)
Muxing mode : DVD-Video
Duration : 3s 360ms
Bit rate mode : Constant
Bit rate : 256 Kbps
Channel(s) : 2 channels
Channel positions : Front: L R
Sampling rate : 48.0 KHz
Bit depth : 16 bits
Compression mode : Lossy
Delay relative to video : -80ms
Stream size : 105 KiB (5%)

Try changing the file extension from .mpg to .vob
Let me know if it works, if not I'll show you how to demux.

How do I do it? It doesn´t have a file extension in the name. I tried to write just .vob after the name, but that doesn´t do it.

That is because you have not exposed your file extensions in Windows
;?)

Do a Google search for "change file extension" followed by your version of Windows. It's done in folder properties but varies by version. Good luck.

Done that. Now I´ve learned something new. Have changed the extension to .vob, and the icon changed. But it still doesn´t open in the explorer window in Vegas under "media files". When I choose "All files", I can choose it, but become the same message as before.

Silly question, but do you have DVD Architect installed? That's where VMS Platinum 8 gets its Mainconcept MPEG decoder.

Yes, but I hadn´t installed it properly, I believe, since I was asked for the registry code. I haven´t been using the program for quite a while, and have had a reinstallation of the PC meanwhile. Now it´s installed, but the problem maintains.

Since your file is only 3 seconds long, upload it somewhere and let us play with it on different installations.