1. Find a reputable source to download them from, like http://www.archive.org/details/movies or the iTunes shop http://www.apple.com/itunes/whats-on/ Both can be accessed via your browser.
2. Follow the instructions to (if applicable pay for and) download them. Movies are big, so it's advised to have a broadband connection with an unlimited account of data.

Easy, isn't it?

Kees