There is no built-in utility within the Windows command prompt for converting videos from one format to another. You will have to download a third-party video conversion utility for this.

For example, VLC Media Player provides support for video format conversion. To use VLC for your purpose, see Google Search and the VLC Wiki.

An example command may be perhaps this:

"C:\Program Files\VideoLAN\vlc.exe" --no-repeat --no-loop -vvv "C:\Movies\my_video.avi" --sout=#transcode{vcodec=mp4v,acodec=mpga,vb=800,ab=128,deinterlace}:standard{access=file,mux=ts,dst="C:\my_video_output.mpg"}

Various other programs can also be used.