Look over the sticky (the bold thread at the top of this section). If you're using any format but huffyuv or lagarith for your clips, stop doing that and go get the amv-app package.
http://www.animemusicvideos.org/guides/ ... mvapp.html
Read the All Things Audio and Video guide to learn how to rip and convert footage to formats any movie maker (wmm included) can handle.
http://www.animemusicvideos.org/guides/avtech/
For a quick fix, try reinstalling ffdshow. It comes in the amv-app package. It sounds like wmm isn't decoding the source files, probably because you're missing the proper filter/codec. If ffdshow doesn't fix it, tell what format the clips are in. Open one of them in virtualdub and check file and 'properties'. Virtualdubmod also comes in the amv-app package.
You can also try exporting a jpg still picture clip, just to make sure your copy of wmm isn't just screwing the video because it's a faulty copy.