This article explains what a WLMP file is, how to open it, and how to export the video to MP4, WMV, etc.
How do I open and edit a .wlmp video?
A file with the WLMP file extension is a movie project created with Microsoft's Windows Movie Maker program (older versions were called Windows Live Movie Maker).
WLMP files contain all of the project-related material that Windows Movie Maker might need to save, but they don't contain any of the actual media files. They may contain effects, music, and transitions that relate to the slideshow or movie, but they only point to the videos and photos.
Older versions of the software use the MSWMM file extension for the same purpose.