No, it is not possible to create a split screen video in Movie Maker.
Movie Maker has one single video track. A split screen video requires you to have two videos on the screen simultaneously so would require two or more tracks. Though this has been a requested feature for many years, Microsoft will not go beyond a single video track, I suppose to keep Movie Maker as an easy program for beginners.
If you want to do things involving multiple videos and images on screen at once (such as split screen, overlays, picture-in-picture, chroma keying, etc.) then you need a more powerful program.
For free options there are open-source options like OpenShot or Blender. Or you can use the free versions of some higher level programs like HitFilm Express 4 (free) or DaVinci Resolve Lite (free). Usually as you add features, the learning curve is steeper, but try them out if you need something like split screen.
P.S. The reply by Deepika Gowda refers to the Split video function which allows you to break a single video clip into multiple clips but has nothing to do with Split screen. Please ignore her reply.