WAV and .mp3 are audio formats, not video.
I would say look up how to torrent programs (on youtube/ google). Torrents are magical, and everyone knows it isn't stealing if it's magic. Windows Movie Maker sucks. If you want to do anything more than just adding cheezy transitions and kill your quality right off the bat, look at getting Sony Vegas or Premier Pro. I learned on Vegas and it can definitely do everything you will ever need it to when you're starting. For exporting to Vimeo and such, I would suggest using H.264 instead of .mp4