Open up your clip in Movie Maker, drag it into the timeline, then click on "Finish Movie", theh "Save to my Computer", Click "Next" on the "Saved Movie File" window, Click "Other Settings", then use the dropdown to use a compressor that you like.
For WMV conversion, I prefer using MS Media Encoder from
here (second link).
Eventually you might want to consider moving up to Adobe Premiere though... the export options are almost endless.