I can't help too much as I have never even heard of the program. I'm a Mac user.
However it's nothing a bit of Google-Fu can't fix.
The file format you have -
.wlmp - is not a movie format, it's simply a project file for that program. It allows you to re-open that project with all your cuts & edits in place so you can continue to make changes. It also means you can't use a converter to convert it to another video format.
Is the program called Windows Live Movie Maker?
This will help:
If that's not the program, just jump on Google & YouTube and search "how to make an avi with ... " and insert your programs name and version number. There will be thousands of posts from people in the same situation, and 99.9% of the time someone will have made an instructional video and uploaded it to YouTube.
Just be sure to check the dates of the search results, as it can quite easily bring up a post from 5 years ago, and the program you;re using may have changed since then.
Once you do that, keep doing it. I mess around with video & photography a bit, and when using my programs, if I get stumped, Google & YouTube are the first places a hit. As I said, someone has always had the problem before you, and someone has always shown a solution. Very cool, and very easy.
Best of luck!