How did you "change" the file to WAV?
Just to let you know, FTM files are NOT compatible with any media player/editor; renaming an FTM file to WAV will get you nowhere. Once you've completed your song, you have to go to File > Export WAV & set either the time or number of repetitions you want to record.
Then, the rest is a matter of learning Windows Live Movie Maker (especially how to import audio files). A great resource for that would be YouTube:
http://www.youtube.com/watch?v=3ZZij3NNyVg
Don't forget to watch other related videos if you still have problems with importing audio files into Movie Maker.