Which is the best site to download movies?
How do I go about it?
Do I need to have something programmed in my computer to do this?

About downloading movies from internet, If you know the type of movie you can drag it by a program call [Internet Download Manager]

Or if you had [RealPlayer 11] will automatically tell you "Download this video" maby that didn't help, but that's all what I have

What type of movies are you looking to download? Since most theatrical movies are under copyright protection, it would be illegal to download such movies for free.

You can try the Cinema Now website for legal movie downloads.