If you've already burned the song to disc, then the song file must be on your computer somewhere, right?
Go to the song file, right click and copy to My Music under My Documents.
Open Windows Movie Maker.
Along the top, where it says Tasks and Collections, click Tasks.
In the number 1 menu, (top left menu list), click Import Audio or Music.
Search your My Music folder for your song, click it, then click Import.
The song of your choice should now be in your collections. Just drag and drop to the Audio/Music line on your story board.
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