What Chenks says is generally true. However, it is possible for your movies to reside in other folders as well. For example, when I click on "movies" in the left hand pane of my iTunes, some of those movies are found in the iTunes Music folder, some are found in the Music folder of my Users folder, and some are even found in the Movies folder of my Users folder. This is probably due to my lack of organization, but iTunes does a good job keeping track of all these movies once I drag them over to the iTunes movies playlist.
If you can't find your movies, simply do a spotlight search and you should be able to find them (if you have a Mac).