Creating a video

I edited clips using Windows Movie Maker, and am on to my next part of my project. This includes putting all of my clips together to form one video, but it is telling me that Movie Maker doesn't support the selected type of file. I find this odd considering I created the file using Movie Maker, and when I click on the "learn more", it says the Movie Maker Project files should be compatible with Movie Maker. I don't have an option to change the type of file it is saved as, so what do I do?