If you know the name of the codec or its ID (known as a FourCC identifier for video codecs or a WaveFormat identifier for audio codecs), try searching the Internet.
You can often go to a codec manufacturer's website to download the most recent version of a codec.
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What version of Windows are you using? Microsoft's MPEG2 decoder is included in most Windows 7 SKUs, as I recall. Previous versions of Windows may require you to purchase an MPEG2 (DVD) decoder from your favorite MPEG2 decoder vendor.
^-- That's not really relevant for MPEG2/DVD playback. In that case you specifically need a compatible MPEG2 decoder. Those aren't (typically) free, which is why that codec in particular can be a hassle.
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