No there is no way to capture directly as an MPEG file in Vegas, there is however many devices that can capture a MPEG file. Just do a search for MPEG capture card. A few that come to mind is the Canopus Amber card, I belive ADS also makes one as well that is a lot cheaper (around $200)
Secondly to change where your captured clips are stored just open up the capture utility, under Options-Preferences-Disk management, and there is a list of capture folders. Just right-click in the box, select add a new folder and there ya go.
Lots of programs can capture to MPEG. However, the quality will never be as good as programs that encode after the fact. There are just too many calculations for even a fast (3 GHz) computer to do it all in real-time. The very best encoders take two passes, so they can increase the bitrates during rapid motion.
If picture quality is at all important to you, capture to AVI first, using the least compression possible, and then encode to MPEG at a later time.