Once you create your new 'Movies' folder in your Home folder, you may have to change permissions by highlighting the folder and pressing command + I. Go to the bottom of the dialogue box and make sure "Group" and "Others" are listed as 'No Access'.
Of course, this is only if you want your Movies folder to be inaccessible by other users, as it is in the default mac setup. You see, whenever you create a new folder in your home folder, os x automatically gives others on the computer read only permission to that folder. If you're afraid of prying eyes, I recommend always saving new stuff you make in the folders the mac made for you rather than just adding new folders to your home folder.