Well if you have iTunes then you can drag and drop your movies to your Palm Pre movie icon.
The Pre plays the following video formats: MPEG-4, H.263, H.264
I got this information from Palm's website.
In the case you don't have iTunes, you just have to connect as a mass storage and then drag and drop the files in your Pre, no specific place you can do it anywhere you want.
The video supported by Palm Pre is MP4, 3GP we usually used. I like to use Moyea Video Converter to convert any other video format like FLV, AVI, MKV, M2TS, VOB, SWF, F4V, MVI, VP6, MOD, etc to MP4 (H.264, AAC encoded) or 3gp (h.263, AMR encoded) for playing in Palm Pre, I like to set the resolution to 320*480, framerate to 29.97kps, and this converter can give me the best quality, fast speed, lifetime free update, good services and so on.