There are various ways you can download movies onto your computer, some legally and some not so much.
Legal ways: You can buy movies online from places such as itunes which I believe will download to your computer (not sure dont use it) or you can stream movies over the internet to your computer via somewhere like www.netflix.com. Streaming will not download the movie to your computer.
If you do want to download the movie to your computer they will have different sizes depending on the quality of the movie ie. if its High Definition(HD) then the file size will most likely be very high.
Not so legal: Torrents, but I wont get into that.
Hope this helps.
Also having things saved on your hard drive shouldn't slow down your computer alot it just takes up space. Processes in the background slow down your computer.