Before you proceed any further, you should save your project. It is a good idea to do this frequently throughout the movie making process.
From the main menu, choose File > Save Project.
Windows Movie Maker saves the project in the file format .MSWMM which allows for editing at a later time. When your movie is complete, you have additional options for saving the file, so that it may be played in a webpage or emailed, for example. These other options do not allow editing, so it is important to save your working file in the Movie Maker project format.
Next Tutorial in this Windows Movie Maker Series - Import a Video Clip into Windows Movie Maker
Complete 7 Part Tutorial Series for Beginners - Getting Started in Windows Movie Maker