There are several project defaults you should set before getting started. Most important, from my perspective, is the location of the files created by Movie Maker when rendering your project. Like most Microsoft programs, Movie Maker likes to bury these somewhere deep in the Documents and Settings folder, where they're nearly impossible to find and delete.
I prefer to keep all project assets in one folder on my main video drive, so I'll show you how to change the default here; you then need to make sure you select the same drive during capture. I'll also show you several other housekeeping options to consider.
From the main Movie Maker menu, choose Tools > Options. Movie Maker opens ...