I cant see any problem, just connect you device on PC and CTRL+C the video file on PC then CTRL+V on the device folder where u wish to put the video file!
I never stored a movie on internal memory, its too small for such thing.
And I give u 2 suggestions:
1 - TCPMP: its the best video player, support almost everything and its free!
2 - nueMassStorage: with this program your memory card (on iPaq) will became a Pendrive, so its even easier to manage your files. This program is free too and works fine on WM5 and WM6 (unstable on WM6.5!).