Try using the format *.*avi or Mpg
When you open up rpgmaker2003 and import the movie it should say these two file exts, if you change it to all it is likely that rm2k3 does not support wmv or anything of that nature.
Also, i just tried a large movie file, and it crashed my maker, the maker may also not like some codecs that most movie makers use. try using tmpg or something similar to dub a raw file,After trying a few things im not sure what will work. i'm mostly sure that your file did not come up because you made it a wmv. or something.