Sounds like the files you are trying to import are in MPEG2 format.
MPEG2 files are common and are used to burn SVCDs and DVDs,some cameras record directly to this format.
Usually there is a license fee associated with using an MPEG2 codec, so the codec is not commonly distributed.
You will need to convert MPEG2 files before importing them into Movie Maker.
TMPGEnc is excellent for this