plien I split your post off here, as I thought that would be more appropriate.
There are a couple of different ways to download movies.
The first & easiest way is to go to a web site like
http://www.cinemanow.com/ & pay to download the video directly to your pc. There are plenty of these sites & a Google search will reveal them. However care is needed as not all these sites are of the highest standards in either video quality or ethics. It is best if you have some sort of 'indicator' as to the sites' reliability (like WOT - Web of Trust, a Firefox add on) before you start randomly going onto them.
The second is by P2P file sharing. This is for free, but, technically, you have to be very careful if you do not want to infringe copywrite laws. The idea of P2P file sharing is that many computers on the net have the same video. File sharing enables your computer to 'grab' bits of the file from all these computers & reassemble it on your computer as the full video. These bits are often called 'torrents'. There are some sites dedicated to this - Demonoid, The Pirate Bay, MiniNova are just 3. However, some of these sites have 'waiting lists' to join & most have strict rules that you must re-share items, you cannot just take.
I also found a quite useful bit of free software (called torrentfetcher) which will actually search the web for torrents for you.
Once the torrents have been found then they have to be downloaded. uTorrent is quite a popular one.
Again care needs to be taken about what sites you visit & it is sensible to virus scan anything you download before you attempt to play it!!