to simply put it on there to transfer, you need to go into my computer and find your iPod as a drive, and then just copy the file across.
if you want to watch a film on the iPod (do you seriously want to do this?!), then you'll need to make sure the video is in the iPod video format, using something like this: http://www.videora.com/en-us/Converter/iPod/
sorry what am i saying.. ignore the second part of that answer. the iPod nano can't play films actually on the device itself. the first paragraph still applies though :)
you may have to go open the iPod in itunes, click the little iPod button bottom-right when the iPod it docked, and enable disk usage.