Hey yeah heres how.
MSWMM is not video file actually. So 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.
Hope this works if not let me know.
Just quick note basically because movie maker files are simply collections of data you need to export/render the files with movie maker to create a useable video. When you do export/render you can pick which file type to save as. Hope that helps for future.