The fastest method would be to put the movie onto storage using a different machine, then unplug the storage and connect it to the Pi. Sneakernet.
The fastest network method should be over NFS to ext4. Setup static IP for the NFS server. NFS is hard to use with Windows, so most people setup samba. Win10 has become picky about some Samba parameters, so be certain you correct those in the smb.conf to get the required minimal version.
If you care about security, then use either sftp or rsync to transfer the files. Both of these protocols leverage ssh for the network encryption and authentication. There is a performance/transfer cost, especially on SBC hardware. If you setup ssh keys between the two systems for the userid(s) involved, it is both more convenient AND more secure. In general, sftp or rsync over ssh is considered secure enough for transfers over the internet, assuming you do not use passwords for authentication.
Make certain the storage is externally powered and use USB3 capable storage even though the Pi is only USB2 capable. The main issue is that any network transfers take bus bandwidth away from the USB storage. The pi architecture shares a single USB2 bus for all USB2 ports AND the ethernet connection. Trying to be cheap does have trade-offs.
For many people, the better choice is to use the Pi as a playback device, connected via ethernet (not wifi) and use NFS to stream local content from a GigE server on the network. DLNA can be used to stream content too, but it has effectively ZERO security. Anyone on the LAN can use any rogue DLNA controller to access all the content from the DLNA server.
Definitely avoid NTFS or FAT-whatever. NTFS can only be accessed using slow FUSE file system drivers. Ext4 uses fast, kernel, drivers. If you don’t have any option but to use NTFS, check out adding the “big_writes” option to the mount command. It is known to drastically improve performance. I don’t think FAT has any similar option. Best to stuck with ext4, if that is possible.