Just simply make sure NOT to remove it, so press no. And as a Movie-maker user, I would definitely not recommend using it, because it tends to go fiddly and at some cases, annoying to use. I am expecting that right after your recording, that the software automatically saved it in a file somewhere. Because that is how you have gotten the file to Movie-maker.
Instead, I would simply recommend putting the video raw on either I.Imgur, or Youtube, I most recommend Youtube, it has a convenient editor for you there as well if necessary.
I hope it helped you out, and if you have any further questions, feel free to contact me. But int he meantime it is pretty late at night so I may have a possibility of not responding, but still contact me if you need any more help, and I would hope to know what I'm doing.
Have a nice day. c: