You can use a YouTube to Video Converter to convert youtube mp4 to wmv.
This is the fastest (and easiest) way.
1. download the video (it will automatically be saved to your PC)
2. convert the video to wmv
3. drag the .wmv into windows movie maker
It works very well,boss.
http://www.xlinksoft.com/Youtube-to-video-converter.html
Hope can help you