Did the file come directly off the game disc, or was it from say, Video CD? If it came from a Video CD, it's just an MPEG-1 stream and VDub can open them just fine. Otherwise, if it doesn't play through DirectShow, you could try to get it to do that first and pipe it through graphedit and then DirectShowSource, or just DirectShowSource.
If it weren't for the fact I remember PlayStation games hold their files with .STR extensions or something like that, I know that PSX games (or at least most of them) use a modified version of MJPEG and that there are DirectShow-capable decoders for those files now or so I've heard, but I've not actively tried looking for them. I believe Sega CD uses one of the Indeo formats, Saturn discs use Cinepak if I remember correctly, and Dreamcast - if you can even get to the video files, that is - use a specially-packed MPEG-1 or MPEG-2 stream.
PC games are completely up in the air. They could potentially use anything, although I'd surmise that it would generally be MPEG-1 or 2, Sorenson 1 or 3, MPEG-4 Simple or maybe even Advanced Simple at a stretch (
To Heart 2 XRated, for example, had to have its source code released because Leaf used XviD libraries inside the game). The chances of using older formats like Indeo or Cinepak are possible if the games are old enough that those were still in common usage, or it could be more exotic but common formats like Bink or Smacker (like Starcraft or whatnot uses), which typically have official products from the format creators to deal with it.