|I haven't used Windows Movie Maker so I looked in it's Help and searched for wmv, clicked on list topics, then looked at the topics.|
Apparently it saves movie files as wmv files by default, so that's what is supposed to happen .
The program would not spontaneously change it's settings - that would have to have been done by you changing some setting.
If you did change some setting but you're not sure what you did,
Tools - Options - click on Restore all defaults.