What format do you need it in?
Video files are a video-stream, an audio-stream, and a container file to hold them. For example MPEG-4 is a video codec, video streams can be encoded in MPEG-4. Video streams can only be put into containers that support that codec type. So for example MPEG-4 often gets put into an MP4 container (eg: video.mp4).
MPEG-4 can be transfered into several different containers (AVI, MP4, MKV) without re-encoding it (this means no quality will be lost). You can do this using tools like ffmpeg which is NOT user friendly or easy to use. Alternatively you can re-encode video into different codecs like H.264, Windows Media Video, MPEG2 and various containers like AVI, WMV, WebM, MKV, FLV using tools like DVDVideoSoft Free MP4 Video Converter. This will result in quality loss, but allows you to use a wider range of codecs and containers.
Personally I store most of my video in Matroska cointainers (MKV), and use H.264 video codec. I've also started using H.265 in some cases, but it requires a powerful machine to take advantage of it. I use HandBrake for most of my conversions, but it only supports MPEG-4 and Matroska containers.