While prior versions of Movie Maker would import animated .gifs and treat them as videos, the latest version (windows Live Movie Maker) treats all .gif files as images. In the case of animated .gifs, it only takes the first frame.
If you want to load one of the classic versions of Movie Maker (e.g. 2.6 or 6.0), you can have it treat the animated .gifs as videos and do what you want. Do realize that the resulting file will be a .wmv (movie) file, not an animated gif. If you truly just want to combine several .gif files, I'd do a search for a utility designed to edit/combine animated .gifs.