Thats all you can do with Movie Maker. A good editor can make a really good movie with WMM. The problem with it is you just can't be as precise and do a truly profesional job with it. For that you need to do keyframes and only a professional NLE will do that. I learned to edit with WMM and then took my skills to Premiere Pro and the learning curve was steep but I will never go back to any other editing program.
If you are new at this and only want a .wmv file then definitely use WMM. You will be happy with your end result. Otherwise you will have to slave with the Premiere and then compress the .avi file to .wmv with Media Encoder. http://www.dpcfilms.com/HowTo/articles/CompressingVideos/index.asp
Just please don't make the common mistake most new editors do and use every single transition you see available. If you watch movies and other professional videos you will a simple fade or hard cut is all they do and not a crazy star transition.