This is the Home Sharing section of the iPhone User Manual:
Home Sharing lets you play music, movies, and TV shows from the iTunes library on your Mac or PC. iPhone and your computer must be on the same Wi-Fi network.
Note: Home Sharing requires iTunes 10.2 or later, available at www.itunes.com/download. Bonus content, such as digital booklets and iTunes Extras, can’t be shared.
Play music from your iTunes library on iPhone:
- 1 In iTunes on your computer, choose Advanced > Turn On Home Sharing. Log in, then click Create Home Share.
- 2 On iPhone, go to Settings > Music, then log in to Home Sharing using the same Apple ID and password.
- 3 In Music, tap More, then tap Shared and choose your computer’s library.
- Return to content on iPhone: Tap Shared and choose My iPhone.
Based on this, have you checked for your movie in Music > More (might it be where the music would be stored as indicated above)?