All channels, including the premium channels (HBO, etc.) can be recorded in ordinary MPEG if you use the Hauppauge WinTV-PVR USB2.  However, this is NOT true for the Hauppauge PVR-mce models.  They are built to integrate with Windows MCE and they defer to the Windows .dvr-ms file format.

I'm taking my PVR-500mce back to BestBuy tomorrow — and am keeping my PVR USB2.  Some of the other Hauppauge cards also record in MPEG, but not the MCE cards!  Unfortunately, Hauppauge does not make this clear in their product descriptions.