How to convert the mswmm file to mpeg or other format?

Hi, I tried to edit some home movie with the windows movie maker. When trying to save them as movie i had the difficulty saying the file can't save as its telling to import the picture and video file as it is. I couldn't understand why it is keep on telling that. While splitting the movie i saved in the same name and import the same name to. the pictures i renamed it and imported to. in a movie it accept both the picture as well as the video to right or is there is any constraint that both the video's and pictrure's cant save in one single file. One more thing i don't have the DV camera, is this the problem to make the picture. I'm literally breaking my head for about a week. Please suggest how to resolve this issue and which is the best compatibility to write them into DVD..