You can`t drag or paste media into WMM (windows movie maker). You have to use the Import Media feature to bring the media into the program.
Click on Import media in WMM and browse for the file you want. It will appear in your Imported media pane. Drag it from there into the Storyboard or Time-line.
And make sure the files are in a format WMM uses:
You can 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