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This depends on the phone that you have. With Samsung phones, for example, files are downloaded to the phone through Samsung KIES software. On Motorola phones, once the device driver software is loaded, you can just copy files to the device (assuming that the mode in the notification bar is set properly).
One other thing to consider will be media format. Different Android devices support different video codecs. As such you need to insure that the movie is saved in the proper format. On mine I tend to make video copies in MP4 format...