Its been a long time since I've tried on my Windows machine and I've learned a lot more since, so it might be possible, tho I never figured it out.
I do know that you can prolly download a program online that will do it for you, someone pls correct me if I'm wrong but I believe the screensavers w/ motion are just executables with the extension .scn or .scr, can't remember which, but I'd look for a program that will compress your MPEG into an executable screensaver.
Hope that gives you something to go off of (And is actually right).
Sorry I can't be of more help.