That doesn't actually make sense as the MZ format is an executable application - thats all. You'll find the MZ header on all your windows exe's too (short for Mark Zbikowski IIRC)
What you have there is a video embedded in a playing program.
It may be possible to extract the video and then convert to a more common format but it will depend on a lot of things. If you PM me a link I'll have a look at it for you.