In DirectShow, using only Microsoft filters, this can be a bit of a mess. You must manually configure the Mpeg2 demultiplexer using the IMpeg2Demultiplexer interface or through the property pages to add output contacts for content streams. Usually you need to connect something else to the filter to analyze the PSI / PAT information and identify the identifiers of the content stream programs within the transport stream. Microsoft provides a sample SDK for this in the Windows Platform SDK.
It is assumed that you have a regular mpeg2 transport stream file. You can use the free MediaInfo or TsReader Lite applications to see what exactly is in your ts file.
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