You can downlaod any file from the network (though be careful with .zip, .rar, .exe files). The question is what program you need to view them (after you've scanned them with your up-to-date Virus scanner).
For movies (and any other media file) I'd recommend using the free VLC media player with built-in codecs. It can play almost any media file and it is very stable:
http://www.videolan.org/vlc/ 