Developmentally, a two-year-old is not really able to understand the concepts you are hoping to teach. They don't really generalize, so if you are able to teach the child (for example) not to run into the road in front of your house, she won't be able to figure out that it also means she shouldn't run into the parking lot at the store or even the road in front of Grandma's house.
What you can do is teach some "rules" (I know, it sounds odd coming from me because I am generally not at all big on rules, but...) such as: when we go into a parking lot, you hold onto the stroller or my hand. Then you need to remind her before you go out the door of the store (because she probably won't remember). When you have a baby and a toddler, the rule is that the toddler goes into the carseat first and comes out last, since the baby's in a stroller and not able to run off. (When you have two mobile little ones, you put them both in the car, then strap each one into the carseat.)
I don't know what's in the Stranger Danger movie specifically, but based on the title I don't generally think it's the kind of thing that is useful with kids this young. They should never be alone anyway so there shouldn't be any risk of a stranger abducting them - constant supervision is the whole key.
Teresa