The relevant options in the menu are gray, and I cannot trigger them.
How to export an mpg into an mov or avi?
The AVI-muxer (the part of VLC that actually creates the file format) was broken a while ago and since no-one offered to fix it, we disabled it in order to prevent the distribution of broken AVIs created by VLC.
The MOV-Muxer should work, but remember that both AVI and MOV are just container formats whereas MPEG is both a codec _and_ a container format. Therefore you would need to transcode the content with a codec that QuickTime understands in its MOV-containers. MPEG-encoded content is not allowed in MOV-containers as far as I know. Thus, I recommend you to use MPEG4-containers (you might know these m4p/m4a/mp4 files) with mp4v as video- / mp4a as audio codec. These files can be played perfectly by all QuickTime players starting at version 6.