Nemesis635, welcome to the forum
This is getting to be a real pain, all the camcorder makers seem to be supplying a USB cable with their cams and then just expect users to know that this can not be used for captureing the full quality footage to a PC. Its about time they started explaining a bit about this in their manuals, but they don't so I'll try and clear things up for you.
USB is for stills capture and web cam type use only.
Full quality video can only be transfered from a DV camcorder via firewire. You can add a firewire port on a PCI card from around £10 online, and this should include the relevant cable as well. Firewire can also be known as ieee1394, iLink or DV port - like its not confusing enough as it is
Once the cam is connected with the above you should be able to see it in Movie Maker and get started on makeing you master pieces.
Good luck,
Mark.