Hi
A "file" is any kind of object such as a music file, document, video file, that lives on your computer. A folder contains one or more files. It's based on the paper file/folder analogy. So yes, you would store files in a folder. In fact, your desktop is just another folder, but its contents are displayed on the screen when you log in.
So you can create a folder on the desktop by clicking once anywhere on the desktop to focus on the Finder, then click the shift, command and N keys (hold down shift and command - it's just to the left of the space bar - and click N). This creates a new folder called "Untitled folder" and the name is editable, which means you can type a new name for it (eg "My music files"). Type a new name and hit the Return key.
Then drag the MP4 files into the new folder to move them. You can select more than one file at once by command-clicking on each one in turn to highlight them, then click on any one of them and drag into the folder.
Post back if you have any trouble.
best,
Matt