If you use the "Save" command, it saves the control file that plays the clips. That's why it only offers the Movie maker format.
If you use the "Save Movie file" command, it will save the movie as a WMV, (windows media video) file, which can be burned to a CD which will play back on any computer that has Media Player.
You would need some playing around with an audio recorder like Audacity to record the audio from that, and export it as a WAV, then burn it to an audio CD.
Next time, download Audacity first (it's free) and use that for audio recording and editing- unless you know someone with a proper audio editing programme, such as ProTools, Logic, Cubase, Sonar, Soundforge, Adobe Audition etc. etc. etc......
Cheers

Dave