Once the movie file is in iTunes you have to instruct iTunes to transfer the file to your iPhone/iPod.
For Mac users, after the iPhone/iPod is connected to the computer and iTunes opens you would click on the device icon (iPhone/iPod) in the iTunes library window. Click the Movies tab in main window and then select one of the check boxes. (You can select to sync all your movies or individual files).
Once you have selected the movies to be transferred you will need to click the Sync button to move the file to your iDevice.