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Just open the folder they're in and select your movie files, and then assuming iTunes is open, drag and drop them into iTunes. If they're Quicktime movie files (.mov) or if they're other types movies other than mpeg-4, you'll have to convert them so they're compatible to be played on an iPod. In iTunes, select the movies to convert, and select from the menus "Advanced->Convert Selection for iPod/iPhone."
 
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