One of two things may have gone wrong.
1. You didn't render, and are trying to open an EffectsLab project file in WMM. You need to create a movie file of your EffectsLab project by rendering
before you can import it into any other programs.
2. You rendered to a format that isn't compatible with WMM. Movie Maker is not compatible with Quicktime (.mov) files, so you need to make sure you select AVI as the format in the Render Settings.