If the file is already in 'My Documents', as you previously stated, then Gizmonster's instructions should suffice.
If the 'film' is actually a video from a streaming site (such as Youtube) you'll need to save it using a Firefox extension. (Details on request). If you're actually referring to the type of movie you see in cinemas then they're not (legally) available for download on the internet in any format which can be easily stored on a memory stick.