Hi there,
Well not with Movie Maker.
It depends what the game is as to what type of software you will need. If
the game is one where the DirectX Draw or Show are employed then you will
more advanced software than conventional capture programs. Its because of
the way the screen/image is drawn.
I have just run a quick search and came up with some useful stuff. Run your
web browser and in the URL window/box type "screen capture" with out the
quote marks. I am sure that what you need will be shown