MPEGs are kind of designed to "break" anyway... back in the day, I foresaw messiness with someone posting episodes of Alvin and The Chipmunks on YouTube, so I downloaded as many as I could before they were removed (and lo and behold, a few months later, Warner Bros. removed them), I downloaded them as MPEGs mainly because the file sizes were smaller, thus, I could fit more of them onto less CD-Rs... now, they won't even play on my current computer, and neither will other videos I had previously downloaded as MPEGs.
AVIs have pros and cons: you can get pretty decent quality, depending on the original format (240p, 360p, 480, 720, etc), and through which program you downloaded, but occasionally, you would get really pixely videos... and the audio always sounded very tinny and metalic.
What version of Movie Maker are you using? I've found that if it's the Vista version (the last "classic" version), WMVs are the only clips that are consistent to work with; the current 7 version (Windows Live Movie Maker) supports a wider variety of formats (again, MP4s work well), but the overall layout of the program isn't as easy and practical to work with as previous versions.
AVIs have pros and cons: you can get pretty decent quality, depending on the original format (240p, 360p, 480, 720, etc), and through which program you downloaded, but occasionally, you would get really pixely videos... and the audio always sounded very tinny and metalic.
What version of Movie Maker are you using? I've found that if it's the Vista version (the last "classic" version), WMVs are the only clips that are consistent to work with; the current 7 version (Windows Live Movie Maker) supports a wider variety of formats (again, MP4s work well), but the overall layout of the program isn't as easy and practical to work with as previous versions.