LEGO STUDIOS Moviemaker Set
Generally speaking, you should ask LEGO to send you a replacement disc. In 2006 they sent the software without any further cost according to this forum thread.

Note though, the official software is almost 15 years old by now, and so it is likely incompatible with any modern computer. There is a version that is compatible with XP, but anyways it is generally accepted that the official software is far worse than the best generic alternative.

Keeping this in mind, I would rather recommend you to look around for other generic video-editing software: Free software collection of a hobbyist LEGO movie group