The SD card reader is the best way by far for actually copying the movies over. If you don't have a reader, you can copy them over via activesync. Just doubleclick "My Computer" and you will see an icon for your phone. You can copy and paste the files you want.
If you have the software, its best to encode your movies in a format that is optimized to your phone to increase playback performance and reduce file size. I like xvid format encoded to 320x240 myself.
I use Pocket DVD Studio which works well for me and is pretty simple. I've used NERO recode as well. There are freeware alternatives, but I haven't used them myself.
http://www.pqdvd.com/watch_dvd_on_pocket_pc.html