I assume you're using Premiere 6 or earlier, which has no real MPEG-2 encoding. You can purchase the Ligos plug-in, or learn to frame-serve to something like TMPGEnc, or use TMPGEnc as a free-standing encoder with finished AVI files (not from the timeline, which is what frame-serving allows). The paid version is quite inexpensive for the quality of export and I think you still get 30 days use of the MPEG-2 encoding before having to register. In Premiere 6.5 you get the Main Concept encoder (now up to version 1.3beta). I've found it to be very good, and far more convenient than having to export the timeline to AVI before encoding outside Premiere. It and the new titler make the upgrade worthwhile, and if you're using a basic firewire card, the realtime preview is handy too.
David Hurdon
http://www.contentshop.tv