When you split a video file, you modify the header. That place is in most of the cases the part that provides information about your video. The video might appear corrupt, but other multimedia players will play it just right. For example, install VLC and open the file and you'll see that it will work properly.
Movie Maker is a very pretentious application and if a file appears to be modified in a different way, then it will simply refuse to load it.
Try using another application instead, something like: http://www.photodex.com/proshow/gold