You may have missed a step with Windows Movie Maker. Watch Part 2 of my tutorials below for step-by-step instructions. The upload procedure is slightly different from when this was made, but it's basically the same.

The following videos were made for people interested in posting videos on YouTube, but the information can answer general questions about using Movie Maker as well.
I've made these YouTube videos to answer questions just like yours.

Please check them out:

1 - How to YouTube - Part 1
http://www.youtube.com/watch?v=4lrGpwaz_-k
2 - How to YouTube (Movie Maker) - Part 2
http://www.youtube.com/watch?v=NmLWlpCcT8M
3 - Movie Maker Tips:
http://www.youtube.com/watch?v=FXA9nSQVQwA
4 - Movie Maker Titles & Credits:
http://www.youtube.com/watch?v=aEHPIOMU4RU
5 - How to Make a Video with a Cell Phone
http://www.youtube.com/watch?v=FGzxPIBJiJU
6 - Stuff made entirely with Movie Maker
http://www.youtube.com/watch?v=dkn-yfCQHy8
7 - Making a Split Screen Video with WMM
http://www.youtube.com/watch?v=Monk3aOeDrM&feature=channel_page

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