Convert a video that is saved in .MSWMM (windows movie maker) to another format

A *.MSWMM file is not video file actually. It is a project file of Movie Maker (some sort of a text file, there are not any video).

You have to open this file in WMM and save the movie to your computer: Go Finish Movie > Save to my computer. After that you will have a WMV file which can be converted to another video format or burned to DVD.

For this task I recommend you to use AVS Video Converter from AVS Video Tools.

Here is a mini-guide:
1. download, install and run AVS Video Converter
2. open an input file or files
3. select an output format, for example click To MP4 for iPod video
4. select a preset you like
5. click Convert Now
After conversion is finished, it will ask you to insert a blank DVD.

I think that AVS Video Converter is the best. It supports virtually all video formats and has built-in DVD, VCD burning engine.