Hi, Sun:
you firstly transfer the videos off your iphone 4 and then convert these videos into .wmv format, as you know, Windows has its unique video format configuration system, .wmv is the best but the videos you recorded in iPhone are both saved .mov, so now two things is very vital for solving this problem:
1) Transfer recorded video off iPhone camera
2) Convert .mov video into .wmv format and upload them into Windows Movie Maker app.
http://www.imacsoft.com/video-converter.html
i personally introduce iMacsoft iPhone to PC Transfer and Video converter tool, which are both best to solve this backup and converting issues.