You have a few choices,
Download on your computer and transfer it through USB cable
Download it directly to the device through the web browser, (assuming you have a website you can do that from)
Download the "transmission" application and download the movies through torrents
Download to a pc, set up the media center, enable file streaming, and use the media center connector built into the media player on the n900 and stream the video. (I haven't done this one personally, it strikes me as being too much work.)

I used the first option to watch 9, and it worked wonderfully.

Good luck!