@Sidney,
To open a prior project you use File > Open project. You can also use the Recent projects list under the File menu. The project file contains the editing state of your project so that you can make further edits. The project file is not a video/movie per se. But you can use it to create your movie, when you like the edits. To do this, you use File > Save movie as mentioned earlier.
The resulting file is an audio/video file that can be viewed in Media Player, uploaded to a video sharing site, etc. You could also then use that edited movie as a part of another movie maker project. You should be able to use your method of opening a project and adding the saved movie.
In summary:
- You use File > Open project to open project files (.wlmp)
- You use File > Save project to save project files (.wlmp)
- To save as a movie, use File > Save movie which will create a movie file (.mp4 or .wmv)
- To add that movie into another project, use Home > Add videos and photos (.mp4 or .wmv)