You will need to use either an SD card reader, or you can actually transfer files directly to the SD card through your Pocket PC while it is synched with your computer. In Microsoft ActiveSync, after you have synchronizes your Pocket PC, just click on Explore, then click on "My Pocket PC", then click on the "SD Card" folder. This will result in an open window in Explorer that you can just drag and drop any file into (including movies).
Of course, if you want to be able to WATCH the movie on your Pocket PC, it will have to be properly formatted to view on the Pocket PC; i.e. in .wmv format with the screen size set to match your Pocket PC's screen resolution. Or, if you have 3rd party video viewing software installed, whatever format that software can use.
If you're trying to convert a movie that you have on a DVD to something you can watch on your Pocket PC, try DVD to Pocket PC by Makayama. I've used it several times and have found it to be very easy to use, although it may take a couple of hours to transcode a full length movie.
I have tried Movie Maker and Windows Media. Movie Maker limits the file size. Windows Media allows for Pocket PC conversion but the copied DVD shows up as a pink screen with green shadows. Any suggestions on how to correct this problem.