How can I convert my video I edited on Windows Live Movie Maker

I searched multiple funny videos from internet yesterday and I edited them all into one video on Windows Live Movie Maker. But when I tried to upload it onto YouTube, it's said that the video file was not compatible. I need to change my video's file from a .wlmp to an .mpg file.
That's really a big headache for me, cause I really don't know how to do.
I was told that wlmp is windows live movie maker project file, it isn't video file, I should publish the project in windows live movie maker and can directly save the wlmp poject as WMV video file in windows live movie maker. If I want to converter WMV to MPG, I can try [url=http://www.lekusoft.com/products/video-converter/index.jsp]LeKuSoft Video Convert[/url] which can do this well, it also can convert any videos or audios between different formats.
Finally, I upload the converted video to YouTube successfully. Also, I learned so much knowledge and tips about multimedia, cheers.