Containers are sometimes referred to as file extensions, e.g. Some codecs can be wrapped in multiple different containers.
For example, MP4 is a container, and can hold different types of video compression, for example, MPEG-2 Part 2, MPEG-4 AVC, or HEVC, as well as audio (again compressed in a variety of formats) and metadata (for example subtitles). NOTE: It's important to distinguish between file container formats and compression formats, or codecs. While it is possible to convert from WMV to MPG, MPG files are rare these days, with a maximum resolution of 720i, and you should consider converting instead to MP4, MOV or AVI as these other file types are far more universally supported.
Video compression formats MPEG-1 and MPEG-2 are generally used, with resolutions up to 720i, which has now been superseded by MPEG-4 Part 2, which is stored in the container format MP4. The video container format MPEG, written MPG back when Windows could only handle 3 letter file extensions, is abbreviated from Motion Picture Experts Group. WMV stands for Windows Media Video and is a series of video compression codecs that were designed for early internet video streaming and HD-DVD and Blu-Ray physical media, Video in this file format is natively playable on Windows devices and can have DRM content management attached.