I have just started dabbling in video-editing. My camcorder (a canon) came with some pretty basic software (for the lfe of me I can't remember what it's called!). I have used Moviemaker2, which can be downloaded from Microsoft click here and is streets ahead of Moviemaker1, which comes bundled with XP.
I beginning to find my way around MM2 and I found some useful tutorials at click here .
As TomJerry says, the project files can only be saved in the native format, but once you have completed the movie, in can be saved in a variety of formats. Before you get started have a good read of the mightycoach articles, or like me you will end up with all sorts of files all over the place!
I'm at home now. The software which came with the camera (or it may have the firewire as it all came in a box together!), is Newsoft's Presto! VideoWorks 5.0. I use this for capturing the footage from the camera, but then use MM2 for editing, etc.
Video editing software is a very personal choice and it really depends on how computer aware you are and how ambitious you are to get to grips with the software. Pinnacle progs tend to be very user friendly and easy to come to terms with while Adobe Premier is an excellent piece of kit BUT is expensive and has a very big learning curve. So you must make a decision for your self about which to go for. I would recomend that you start with a cheap prog like Pinnacle studio 7 through 9 and more importantly dont be too ambitiuos, start with a five minute video rather than an hour long epic. A lot of expert advice can be gleaned from click here and click here