Try converting your file to a different format. Each will make different file sizes (MPG, AVI, etc).
Converting it to a FLASH may allow the playing and download faster than a true movie file.
Remember that if you have a visitor with a slow connection, your movie may take even LONGER to download.
This site refers to best ways to compress movies for posting on youtube that may give you some good pointers.
h**p://www.squidoo.com/youtuberight/
Movies, flash, etc should not be put into your website file. Instead, you should upload them to your website using FTP software (or if your website control panel/file manager has an upload feature. Then put a URL style link into your webpage pointing to the location of the file on your website.
If you only want certain people to have access to the file, there are different things you can do to limit access.
But they are different depending on what YOU want to do.
Are you selling the movie?
Putting it up for only some members?
Do you want to use a single password for everyone that you allow or individual...