The information below applies only to old versions of Windows Movie maker. The new Windows Live Movie Maker usually does not require any special tweaks to import files.
Windows Movie Maker (for XP/Vista) will normally only import AVI, MPEG, and WMV files. It will refuse to import any other file types.
It can show an error message like this: "The file X is not a supported file type, and it cannot be imported into Windows Movie Maker."
There is a trick to make it import other file types, which works in most cases. All you need to do is rename your file so that it has the file extension .avi. Using this trick you should be able to import FLV, MP4, and other file types. Don't forget to rename your files back to their original extensions when you are done using them in Movie Maker. Renaming may not always be necessary. You should always first try to import using the original filename!
Another configuration tweak you you might need to make is to adjust the compatibility settings of Movie Maker.
Movie Maker menu -> Tools -> Options -> Compatibility -> enable "ffdshow video decoder" (and other audio/video decoders from the codec pack that may be listed there)