Find FAQ: multiple shots

I play multiple instruments and i would like to make a cover video of me playing all of the instruments, in one video. I've seen a lot of other videos where its done,but i'm not sure how to do it in windows live movie maker or if it is even possible in windows live movie maker. I think it can be done but I just have no idea how. Please give specific instructions on how or a different program where i can do that.
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multiple shots