You don't really need to do anything too special to play movies on your phone.
First start off by grabbing a copy of TCPMP recompiled version for Windows Mobile 6.1. My google search returned this link:
http://www.4shared.com/file/51243023...omp-03CAB.html
Once installed, any movie you throw at it should play just fine.
If you're looking to rip DVDs, well that's another story...