We have used resistivity measurements to study the magnetic phase diagram of the itinerant antiferromagnet FeGe_2 in the temperature range from 0.3->300 K in magnetic fields up to 16 T. In contrast to theoretical predictions, the incommensurate spin density wave phase is found to be stable at least up to 16 T, with an estimated critical field mu _0H_c of ~ 30 T. We have also studied the low temperature magnetoresistance in the [100], [110], and [001] directions. The transverse magnetoresistance is well described by a power law for magnetic fields above 1 T with no saturation observed at high fields. We discuss our results in terms of the magnetic structure and the calculated electronic bandstructure of FeGe_2. We have also observed, for the first time in this compound, Shubnikov-de Haas oscillations in the transverse magnetoresistance with a frequency of 190 +- 10 T for a magnetic field along [001].