Basically I don't know how to down load a (Telugu) movie from the internet.Can you help me?

Though in most cases downloading of Copyrited material is not illeagle in the US Making this material available for download is. Showing the material or public preformance is usually illeagal.
I feel I must say something about the fact that infrenging copyrights is illeagal and just plain wrong.
Not knowing the site the movie is hosted on or the file format of the movie I am not able to give the best possible ansewer.
Most Internet videos are Adobie Flash movies and downloading them from sites like Youtube is relitivly easy.
Firefox offers several extensions that work well for downloading flash video. Flash Video Down loader and 1-Click You Tube Downloader come to mind

DVDVideoSoft... great for downloading videos from YouTube...

Also AntVideoDownloader for general flash...