Well, since no one has yet to tackle this topic, I did the un-thinkable and actually researched this on deja.com.
It appears that Microsoft did not include an MPEG-2 codec in Windows Media Player because they would have to PAY money for EACH copy of media player distributed.
Also, it appears that downloading a codec which Windows Media Player can use is not such a big deal, but they cost money as well.
I still haven't figured out who owns the algorythm, but I'm sure they're pulling down a few bucks (much like Apple Computers since Fire Wire has really taken off).