WLMP file is not actually video files, and it's a movie project generated by Microsoft Windows Live Movie Maker. So you can't play WLMP file with video player and also can't upload and share it directly on YouTube, it's totally a troublesome. Here is a tutorial about how to convert WLMP to AVI.
First, click "File" button at the top left > "Open Project" to load WLMP file into Windows Live Movie Maker. Then, save it to WMV file. Free download the WLMP Converter and start the program. Import WMV file and select AVI as output format. Start to convert WLMP to AVI.