You are unable to import any videos files located on your network with Windows Live Movie Maker.
To enable the Network support feature of Windows Live Movie Maker:
- Click Start > Run > then type "regedit" and press Enter
- Go to this entry:
- HKEY_CURRENT_USER > Software > Microsoft > Windows Live > Movie Maker
- Click on Edit > New > Dword value
- Rename it as "AllowNetworkFiles " and set its value to 1