Well I use Windows Movie Maker and it saves it as a MSWMM. It won't let me upload it to Youtube when its like this...

What do I do?

Are you hitting "Save Project"
Or
"Save Movie File"
While your in Windows Movie Make
You need to hit "Save Movie File"
C:

Well that was easy, wasn't it?

Thanks so much =D

or...you could "Publish to this computer". That function makes the video a "Movie clip" which plays in Windows Media player and also uploads to YouTube, Myspace videos etc.
The publish function is on the left hand side, last set of options underneath where you make titles and credits.

cheers