Basically you can put all kinds of videos on the application, if you have a permission to use them. You would of course have a permission to use your own home videos. You do not have a permisson to edit any copyrighted material. Depending on the video codecs of your computer, WMM can work with several different video file types.
Windows Movie Maker can accept these kind of file:asf, avi, wmv, mpeg, mpg, m1v, mp2. If you don't see these video correctly you need to download the right codec and player