Windows Live Movie Maker has been finally released. Some users have found that you can import files into Movie Maker if they are located in the network. But there is a workaround to overwrite this.
To run the roadblock, navigate to HKEY_CURRENT_USER\Software\Microsoft\Windows Live\Movie Maker and add a DWORD value named AllowNetworkFiles. Afterwards, simply double-click it and set its data to either 0 (disabled) or 1 (enabled).