The file format that Windows Live Movie Maker saves out is called a "WLMP" and is unfortunately a proprietary file format specific to Microsoft that we don't support. Luckily exporting out a file format that we do support is easy!
Simply go to the top left menu and select "Save Movie" and then "Use Recommended Settings". Type in the name you would to save your video file with and then select "WMV" or "MP4" from the drop down. If you get stuck, feel free to refer to this guide.