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What kind of file is it? Right click the file and click get info. If the icon is a picture of a box with a yellow cube inside of it, just double click it.
 
If you mean you've bought the MPEG-2 component from Apple, it should be in a DMG (disk image file) that contains an installer. Double click that to open it, then double click the .pkg installer inside it (there may be a couple of versions, at least there was when I got mine, choose the relevant one for your mac if so).
 
That sounds more like the MPEG-2 encoder belonging to ffmpegX. You can't use that with Quicktime since it is not made to work withing the Quicktime framework.
 
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