Ugh, gosh. I haven't edited on a Windows box in so long I don't even know where to start.
I don't know about Windows Movie Maker, but in a professional program like FCP or Adobe Premiere, it's not really an "effect" per se; basically, you just overlay the second video onto the first in the timeline (each level of video has its own level in the timeline, not unlike layers in Photoshop), then shrink it down to the desired size, leaving the main video behind it.
Does Movie Maker have anything like that (layers of videos stacked on top of each other)? It's gotten bloated and unwieldy (that it to say, it's an Adobe product), but if you're interested in spending a bit of money I'd suggest a copy of Adobe Premiere...Essentials, I think? Elements? Whatever their cheaper, prosumer-grade cutdown of Premiere is called. It should be more than enough.
Conversely, go buy a Mac Mini and a copy of Final Cut Pro (again, the prosumer cutdown, can't remember what it's called) to really kick it into high gear. And then when the full version of the new Final Cut Pro X comes out this summer, pick that up off of the App Store (only $300 then!).
. Well not so much but you know what I mean.
