It depends on what you mean by "splitting". If you want to split the file so that you can, perhaps, back them up on more than one media (e.g, two or more CD-Rs), than most, if not all, compression tools support multiple disk spanning. Of course, if you need to view your MPEGs again, you have to re-assemble all the pieces back.
If, on the other hand, you have this huge MPEG that you want to halve so that you can independently view each half, then Windows XP's Movie Maker can adequately do the job. For specialized tools... well, ask the guys above.