If you're using the official movie park program you can put them in any directory on your smc, if you're using gpdivx (which i never managed to encode properly for) they have to be in \GPMM\DIVX You just drag them over from the PC. I highly recommend the official player. It's really cheap and there's some nice features (full screen or windowed, captions, brightness control).
Have fun.
Jace