I feel like OP (Original Poster. That's you Sut1576) is fairly fresh towards stuff like this, so something tells me he'll need an even simpler explanation.
- Yes, you can download movies from the internet, but that's also illigal and not allowed to discuss on XDA, so you'll have to find another place to ask about this.
- You can also rip (copy) your own movies to your computer and transfer them to your Ultra (legal as long as it's for personal use).
- The Ultra will natively play back the most common formats (.mp4, .mkv, .avi), and the stock player is very good, but if a movie won't play, then do as Zaxharu and SpyderTracks have said and install a third party video player from the Play Store (I personally prefer MX Player)
So just plug your Ultra to your computer, make a new folder called "Movies" or something and drag-and-drop the files into the folder, and that's it.