Hi, I can't beleive these answers that other people here are giving you. I believe you are simply missing the codecs needed for your windows media player to decode the video, there is a slight chance that the video could also have been corrupted somehow when you saved it, but I doubt that.
You can either download a codec pack to make wmp play the file or an alternative media player that will play almost anything without the need for a codec pack.
The best alternative media players are vlc, kmplayer, gom player, media player classic, and mplayer for windows. The best codec packs are combined community codec pack "cccp", shark007, k-lite, and media player codec pack. You NEVER want more than one codec pack at a time or you will have CONFLICTS.
Warning, only install one of these not both. Also "cccp" does not have a virus it is a false positive for media player classic home cinema which is included, you can read about it in the "cccp" forums. "cccp" is a safe pack. Warning, do not enable or checkmark haali media splitter support for avi files during installation of "cccp or k-lite, if you do it will always crash windows movie maker.
http://www.cccp-project.net/ (Official site of combined community codec pack "cccp")
http://www.free-codecs.com/download/K_Lite_Codec_Pack.htm (Here is k-lite codec pack. You can choose from several different versions ranging from basic to k-lite mega pack. You will find the mega on the same site over to the left side under codec packs.)
1. You never want more than one codec pack at a time or you will have conflicts.
2. Do not enable or checkmark avi support for haali media splitter when installing combined community codec pack, if it is enabled it will crash windows movie maker everytime.
Your windows media player wil play almost anything with the above codec pack installed.
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Here is vlc which may be your best bet. Warning, I had trouble with the latest version playing srt subtitles so I've went back to version 1.0.3 of vlc which you can get below at oldapps site. The new version plays 3gp and 3g2 files properly, the old version had a problem with sound for those 2 formats. Vlc does not need and will not use any codec packs whatsoever.
http://www.videolan.org/vlc/ (Official site of vlc media player by videolan. When you click on download it will download the installation file from sourcefourge which is always a safe site.)
http://www.oldapps.com/VLC_Player.php (You can get all official previous versions of vlc here in case the latest version gives you any problems. I am on version 1.0.3 without any problems. Could just be my older computer.)
Here is tip to get fix the annoying docked vlc playlist in the new version of vlc. The docked playlist is annoying because it is over the video and everything forcibly.
Open vlc - click on the view tab across the top - click on docked playlist in the dropdown list. (This will stop that annoying playlist from being forcibly over everything in the new vlc.)
I hope this helps you out. If you need further help add some additional details and I will do my best to help you further. Good luck!