Connect the iPad to your computer's iTunes and copy any purchases off the iPad to your computer via File > Transfer Purchases - you may also want to copy photos and any important documents off the iPad as well e.g. via the file sharing section at the bottom of the device's apps tab when connected to iTunes, via wifi, email, dropbox etc - they should be included in the backup, but it's best to have a copy of them outside of the backup just in case. You can then force a backup of the iPad by right-clicking the iPad 'Device' on the left-hand side of iTunes and selecting 'Backup'.
You can then start the update by selecting the iPad on the left-hand side of iTunes, and on the Summary tab on the right-hand side clicking the Check For Updates button.
Updating to iOS 5+ : http://support.apple.com/kb/HT4972
If you buy a film from iTunes on your iPad then it should download into the iPad's Videos app. If the films that you want to buy aren't available in your country's store then it's because the film studios haven't granted Apple a license to sell them there.