Hi again- I am using my camera (Fujifilm Finepix) to do my videos too. I don't know if this will help, but I upload my videos to my computer first using the software from my camera. Then I open Movie Maker, and go to File:Import Videos into collections- I highlight the videos I want and import them.
From there, I select the videos one at a time to work on them. When I finish one, I hit the File:"Save as" , and save the video to a folder on my computer first.
Next I click on the File: "Save Movie File" (I believe that is what it's called- I don't have it in front of me here at work). This one brings up a couple options- save to email, send, etc- I choose the "save to computer" option. You have to click the next button 3 times, and I save to a separate folder that I created on my desktop. It automatically saves it in the correct .WMV format for me when I do this.
Again, I will check the terminology on the Movie Maker when I get home tonight, because I can't quite remember it without seeing it in front of me, but I hope that might help you.
Good luck!