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If any of your movies are protected - as in bought from the iTMS - then I think you'll find you're stuck due to Apple-specific copy protection.
If that's not the case, if these are some movies in general that you happen to manage with iTunes, then simply transfer them to your phone, and use a good media player to enjoy them.
Here are instructions for how to get your Mac talking to your Captivate via USB:
Apple - Support - Discussions - Samsung Captivate ...
If you try the above carefully and if your phone still isn't recognized as a USB drive by your Mac, then either Astro File Manager or eStrongs or AndFTP (free in the market for Android) can be used to transfer your movies.
I prefer AndFTP because it seems the quickest. Post back after trying USB first, and if that fails, I'll walk you through the AndFTP setup.
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Once you've done that - browse your Captivate's SD card, you should find a folder already there called Movies or that sort of thing. You'll want to put the movies there.
The easiest way to find movies on your Mac is via the Finder - last option in the left-hand pane is a smart folder called All Movies. If it's a movie anywhere on your Mac, you can find it there, for drag and drop or copy/paste between your Captivate and Mac.
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Once your movies are there, I'll let the other Captivate users give you their media player advice.