Great question UP. There are several programs that you can use to do this. I use one called Videora iPod nano Converter, which is free but made specifically to convert to iPod video. I have used it to convert then hook my iPod up to a TV's inputs and watch them. If your MP3 player can do mpg4 video it will work. Another way is the online service
http://vixy.net that allows you to convert to different formats by cut and pasting the address from your web browser. I found that it was a little difficult finding the exact settings at first, but after playing a bit it now is just a couple of clicks and I got what I want. Give the make and model of your mp3 player so I might be able to give you more exact information!