Open ITunes, click the Edit tab on the toolbar at the top, then click on "preferences" (assuming you have iTunes 9), look for the button that says "import settings", after you click "import settings", there should be a drop-down list that says "import using:", click on "WAV Encoder" or "MP3 encoder", press Ok and press it again on the preferences windows, select the song you want to convert and go to the "advanced" button on the top toolbar, select "create WAV Version" (or mp3 if you selected "mp3 encoder earlier"), close ITunes and open Windows Movie Maker.
Then, click "import audio or music" and when the window comes up, find your way to the ITunes library folder, and the song will be in the same place as the original, and this one is compatible with movie maker.
