To work with the Windows Movie Maker and make a high-quality movie, you will need a camera that can connect to your computer. Even without a camera, you can still make a movie, though it would be nothing more than a video frame with narration.
Take your time to survey and become habituated to the navigation panel of Windows Movie Maker. There you'll find a quick listing of capture, edit, ending, and movie creating tips. Below the Capture Movie tab on the left, if you've a photo camera installed, you'd click on "Snap from device," or, if not, simply import pictures, videos and audios.