From WMM Help:
Import video files, pictures, and audio into Windows Movie Maker
You can import files with the following file name extensions into Windows Movie Maker to use in your project:
Video files: .asf, .avi, .m1v, .mp2, .mp2v, .mpe, .mpeg, .mpg, .mpv2, .wm, and .wmv
Audio files: .aif, .aifc, .aiff .asf, .au, .mp2, .mp3, .mpa, .snd, .wav, and .wma
Picture files: .bmp, .dib, .emf, .gif, .jfif, .jpe, .jpeg, .jpg, .png, .tif, .tiff, and .wmf
I've never use itunes, but I found this:
File format support
iTunes 7 can currently read, write, and convert between MP3, AIFF, WAV, MPEG-4, AAC, and Apple Lossless.
iTunes can also play any audio files that QuickTime can play (as well as some video formats), including Protected AAC files from the iTunes Store and Audible.com audio books. In order to play other formats such as the Ogg and FLAC-contained Vorbis or Speex codecs, iTunes requires the Xiph QuickTime Components to be installed. iTunes currently will not play back HE-AAC/aacPlus audio streams correctly. HE-AAC/aacPlus format files will play back as 22 kHz AAC files (effectively having no high end over 11 kHz). HE-AAC streaming audio (which a number of Internet Radio stations use) will not play back at all.