You can only import files with the following file name extensions into Windows Movie Maker to use in your project:
Video files: .asf, .avi, dvr-ms, .m1v, .mp2, .mp2v, .mpe, .mpeg, .mpg, .mpv2, .wm, and .wmv
Audio files: .aif, .aifc, .aiff, .asf, .au, .mp2, .mp3, .mpa, .snd, .wav, and .wma
Picture files: .bmp, .dib, .emf, .gif, .jfif, .jpe, .jpeg, .jpg, .png, .tif, .tiff, and .wmf
Windows Movie Maker can import most file types, but not all file types will work when you try to use them to make a movie. Microsoft Recorded TV Show files (with a .dvr-ms file name extension) that are not protected using digital rights management can be imported into Windows Movie Maker if your computer is running Windows Vista Home Premium or Windows Vista Ultimate.
To find out if what file extension name is, right-click on the file and select Properties from the drop-down menu. Note the file name extension (example: .mpg,.avi)
If the file name extension is not one used by WMM, then you will need to convert the file before it can be imported into the program.
Video converter downloads are available free online. Simply Google: free video converters. (My preference is Prism Video Converter, which is a free [permanent - non-trial] download with an easy-to-use interface.)
Once you have a converter downloaded, just click the program browse button to locate the file you wish to convert and follow the instructions. Make sure the conversion is to one of the file name extensions used by WMM.