Depending on which GoPro you have, some software doesn't like it - I've got a reasonable old version of Adobe Premiere and it won't take footage from a Hero 3, for example.
The GoPro / Cineform Studio software is free and good for trimming down single clips, but I've never been able to make sense of 'editing' a video with it... You could use it to convert the clips to a different format though, then you could edit it with Movie Maker?