Why are people recommending video converters? Ah - "helpful spam" that's why.
No need to install other software - you will notice loads of people with loads of application suggestions, majority of time these are not just someone being helpful.
.MSWMM is *not* a video format - it is an editor/timeline/etc format which marks which video segments, transitions, captions and audio overlays you have used. A *Project* file.
If you open .MSWMM in Windows Movie Maker it will only work if the corresponding video file exists... if you clicked Save before - that didn't save a video, just the PROJECT.
If the video still exists, use the File>Save Movie File... or "Save to my computer" options and it will encode the video in the way you edited it - if you did no editing just find the original video and upload that directly.