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From question i could understand that you have no saved file as movie but as a project and that's why the extension wlmp (Windows Live Movie Project)
To save as movie, please do as follows
1: Open Windows Live Movie Maker
2: Open your saved project on it
3: Once project to ready to save, Click Home tab > Save Movie > Select required settings > click save button
Now movie will save in wmv format.
Your movie is ready now.
Now you may be thinking how would i save movie in other formats.
For that you need a video converter program to perform this job.
You can get one from below link
Any video converter supports wide range of file formats. You can use this program to convert wmv to mp4.
Hope i have shared complete information of what you have looking for.
Let me know if you have further query.
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