You'll need to download some software to back up your games. Do a search for UMDDAXDUMPER and Fastloader and see which one would work better for you.
I don't know about backing up UMD movies.
I use DVD shrink on my own DVDs and then use PSP Video 9 or something similar to convert it over for my PSP.
Usually any information you want can be found using the search button, most of the questions you might have will have already been asked and answered.
Good luck and enjoy!