Creating documentary is not a simple task. If you are planning to make a well organized documentary, then you need a script, narrator, and proper knowledge of sound editing as well as video editing. Let me tell you one thing, every moment could be thrilling but to make it look thrilling you need to have a proper combination of sound mixing and videography. 
Window Movie Maker is all right if you are planning to shoot the multiple small clips and then join together. But if you are planning to be creative then it might not be sufficient. Try using "Pinacle Studio" if you dont mind trying new softwares. It is way better than Window Movie Maker and allows you to save file in various formats. If you use Mac, then go for imovie. 
Video from iphone should be fine if its meant for the youtube or similar online video. But full length movie can also be shot using iphone. A full length movie has been made in South Korea, entirely using iphone. It will be very helpful if you have a higher storage capacity iphone(32 or 64 GB). You might need to carry around your laptop too so that you can copy your clips if you run out of space. Just to spice up you footage, you might considering buying "extended zoom lens" which you can easily buy on ebay for around $20. Try to use the tripod whenever possible. Tripod helps to eliminate the camera shake.
Happy Shooting!!