How To Import Videos From The Computer Into Windows Movie Maker?

Please help me with this problem. I’m trying to make a AMV with Windows Movie Maker, but when I go to import and click on videos. And click on the file I want to import and a message shows up saying error or file can’t be found. Can someone please tell me how to import videos in Windows Movie Maker? What type of input format does the file have to be? Thanks in advance.