Stay away from .mov & .wma files to be on the safe side. How long it takes to download depends on file size, number of hosts you're downloading from, their speed, your speed etc.
Before you download a movie, always check the file with Bitzi
How to use Bitzi

It's a good idea to scan any downloaded file with your AV before opening

If you're new to downloading, you should probably follow these links for info
Direct instructions to eliminate porn from results
Movie download issues
How to find music
Recognising fake files

and maybe also read the LW user guide
LW user guide

*Next time, just post your question once please.