I put this here for future reference. I had to dig the interwebs to find the filename of the movie maker after I couldn’t find it on my computer. It was not located in the Accessories group (from Start Menu) like it was supposed to be.
The file name (on my system) is C:\Program Files\Movie Maker\moviemk.exe
Go to Start, Run and type in moviemk and press Enter.
After you find/install it you can make a shortcut and drag-drop it to your Start Menu. I put my shortcut in Accessories, Entertainment, next to Sound Recorder.
Windows Movie Maker 2.1 also available at CNET for Windows XP.