Make sure that ALL of your original files (videos, pictures, music) are located in the same folder where you save your Movie Maker project. Movie Maker only creates links to those files, rather than embedding them in the project.
You MUST have the original files (videos, pictures, music) with you both here and at home if you want to continue editing your project.
Choose "Save Project" to continue editing your movie.
Once you are finished editing the movie, save the project one more time, then "Save Movie" on the far left of the "Home" menu and choose the best option for you. This will finalize your project.