FCP & Mpg? Help!

Okay, I'm extremely new to FCP and I got some files (.mpg files) from a guy for a documentary and they simply won't import in Final Cut.

Now, when I take them over to my PC they work just fine. But for some reason FCP won't work. It says file is not recognized and other things along those lines.

Is there a plug-in or some sort of conversion tool that I need to find in order to make these work?
 
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