Original title: problem opening Movie Maker movie

I have a very frustrating problem. I make the movie, i.e. download the clips to movie maker, edit them and add captions etc and then I save it like I would save any other Microsoft file/document but when I try to open the movie again the clips won't open. I can see that the clips are there but they have a yellow triangle and it says that the clip is lost and it cannot find it. I do not know what I am doing wrong! I just save the movie and then it says that the clips are lost and will not open. Any ideas?