No problem. We are not suggesting that you are up to anything dodgy. It's just that the technology can easily be used for illegal purposes, so when the subject comes up it's a good time to mention the rules we have about piracy.
The best way to get movies onto your iPhone is to use software such as Handbrake to rip DVDs which you own, and transfer them to your iPhone using iTunes. I can easily give this advice, since it is perfectly legal where I live.