My Canon S400 won't make movie clips (although it once did).  More
details:  I rotate the mode switch to the "movie" setting, but when I
press on the shutter button, the camera makes a picture (jpg) file,
instead of a movie clip (avi) file.  Note: I tried formatting the CF
card with the camera, but that didn't seem to help.  Any ideas?

Perhaps this will help you:

http://216.239.57.104/search?q=cache:w_Q0XuHRe0UJ:www.windowsmoviemakers.net/Forums/ShowPost.aspx%3FPostID%3D3025+Canon+S400+won%27t+make+movie+clips&hl=en

I contacted Canon. I was advised to look on the net for a MJPEG codec
download. Instead, I updated to Movie Maker 2 and have had no problems
(so far).
 
[...] 
  
Re: Problem importing video file
 
I was having the same problem with AVIs downloaded from my Canon
PowerShot S400 Elph. Once I upgraded to WMP2, problem solved. Thanks
for the tip!

My problem is that I can't even create "avi" files.  Your tip is
useful only for those that can get past that, but at least your tip
will undoubtably help some people.