MPJ is the extension for Video Edit Magic's project file. The project file keeps the timeline information so that you can edit the project again at any time. The project file only contains references to original files and you cannot play this file in any media player.
When you edit your project, you can use the Make Movie feature to make a file that plays on Windows Media Player. Since, you want to upload the video onto the internet, you can choose to make movie in the Windows Media Format (WMV).