I'm not sure, i haven't used the studio version since version 2, but back then MPEG2 was part of Vegas. You just had to unlock the MPEG2 encoder, which happened pretty much automatically the first time you rendered an MPEG2 file. When you render (or make movie) do you have an option for MPEG2?
I've also seen that you are trying to make DVDs. This task would probably be a aided by having DVD Architect installed.