The ahfilm.exe file is the actual film viewer to view your in-game recorded video. You need to use that program to play your video and perhaps try your hand a setting up shots. While using the film viewer, you can either use another program like FRAPS to record what your computer is displaying (for fullscreen movies) or you can play around with the "save/export as avi" function from the film viewer.
I haven't had much luck just exporting the whole film to avi. I always set up shots and then "stream to avi" during playback of each shot. There are lots of codecs listed to choose from, and I haven't played with them all. The best luck I've come up with so far is by using "Windows Video 1" codec.
Once you've done the above, you can then import those avi files into Windows Movie Maker and go to town.