Read the manual. It will tell you which video formats are compatible. I believe its MP4 and .avi. If your movie files are in other formats, you'll have to convert them first. There are software programs that do this fairly, easily.
I use a program called "MakeMKV" to rip dvd's to my computer. Then transfer to sd card. The built in player will play those mkv files perfect. Or if you want smaller files you can use a program called "xvid4psp" works good for video conversions but takes a long time. Hope that helps.