Problem Converting Windows Live Movie Maker Files

I've been having to use Windows live movie maker to combine MP4 files. When I do this, the new movie is saved as .WMV (no other option I can find). When I try to use the Applian converter to convert it from .WMV back to .MP4, I get an error message. Is there a solution to this problem?

IMHO it is a bad idea to join into WMV and then convert into MP4. I would try to join MP4 files into MP4 files directly. Otherwise there will be a quality loss.

The problem is the Media Splitter (Joiner) doesn't support MP4.