It seems that you need to learn some of the basics of After Effects.
If you want to make a movie, you have to render and export a composition. Compositions are contained in projects. An .aep file is a project file.
See "Rendering and exporting overview" for an overview of rendering and exporting.
But you'd probably be well served by starting at the beginning. I recommend working your way through the items under the "Getting Started" heading on this page.