m3u are playlist files. Are you trying to save files from within your LW library? Find your saved folder instead. In LW's library, highlight a file & click Explore...your saved folder should open. Try moving the files from there.
Also MP3's are Audio Files. You are trying to put them in Windows Movie Maker??? I'm not sure what WMM is or does, I'm assuming it has something to with Video. So you may want to try Windows Media Player instead. Here is a Guide to help you with WMP.
Windows Media Player 10 Guide: Adding Songs to Your Library and Burning CDs
Hope this helps.
