Lion is Mac OS X 10.7, Mac OS X 10.5 is Leopard. Use the steps I showed in the graphic, or use one of the links below to get a more detailed look to confirm your Mac OS X version. If you have not upgraded since your purchase, you will have Mac OS X 10.5 Leopard.
Did you buy it new or used, if new, two DVDs should have been included.
You can get replacement DVDs from Apple, you just have to contact them and see, if they can help you (which they normally can in these cases).
If you cannot wait, you could get iMovie for 15 USD via the Mac App Store (MAS), but that requires Mac OS X 10.6.6 Snow Leopard at least.