Are you running XP or Vista? You need to get to Folder Options in amy Windows Explorer window so that you can show File Extensions. For Vista this is Organise, Folder and Search Options, View Tab and untick Hide File Extensions for Known File Types. For XP you can access Folder Options from any Explorer Window under View (I think).
If you then use Explorer on your external drive you will then see the file extensions of your video files and can see if they are mpeg. If they are you have a File Association problem and you just need to right click on one of them and alter the Open With command to the one that you normally use for viewing your movie files.
If they really have changed their extension to something other than mpg you can always try renaming one of them with the mpg extension and see if it plays.