Unfortunately, sometimes you do have to split it in parts, especially if the movie is too long.
Where exactly were you trying to save your movie? That's the important thing to know! Just save it where you want to save it then follow the instructions in the save movie wizard window.
Now you got a message saying "windows movie cannot save t his file to the specified location...etc". There are four possibilities for this problem:
Your movie file is exceeding the FAT32 4-gigabyte size limit. In other words, your movie should not be exceeding 4GB if you have a FAT32 file system and not a NTFS file system on your computer. Generally, I don't recommend making your video any close to 4GB in size. You may want to try saving your movie in a NTFS partition on your hard disk if that partition is available. If you use the NTFS file system, that will support saving your movie if it is larger than 4GB. What you can do is reduce your size of the movie by removing items from your storyboard/timeline. You may also lower a movie setting when saving the movie.
Another possibility is there is not enough free space on your hard disk. How large is your movie? You can, again, consider lowering your movie setting or remove items you have from your timeline/storyboard. Not all of them but you can can select any items you can live without and remove them to reduce size and length of the movie.
This is very unlikely but another possibility is that the selected located where you want to save your movie does not exist. Now you want to save your movie to a hard drive and your hard drive should already be there the minute you got your computer already! This is the case normally for anyone who wanted to save their movie to a DV camera or a recordable CD.
One last possibility is at least one source file for the movie doesn't exist or it has been deleted. Look in your collection pane where you have all your items you need for the movie (video clips, audios, pictures etc..) and make sure EVERYTHING is there. Make sure there is no red X's at all. If you see a red X, then something is missing or has been moved. You must leave every source or item you had in the same location. For example, if you had an audio on your desktop, make sure it stays there. Do not move it to My Documents or My Music etc... If it was moved, simply move it back to where the item was in the first place when you first added it to your collection pane. Also make sure you did not accidentally delete anything. If you have not emptied your recycle bin, check in there and if the missing item is there, select it, right-click it and select "Restore" and your item will be restored back to where it was and that red X should disappear.