IPod/movie help-- is there a way to get movies from the internet to your ipod??

i have the newer ipod, i think it is 3rd gen (the square one, 8gb). i have movies that i watch online such as a dbz movie from yahoo or stand-ups that i like to watch but i'm not sure if i can get them to my ipod. all the ones i like are in "my favorites." Any help would be good. if you happen to see my post this question again, you don't have to answer bec. depending on your answers i might re-post it. THANKS IN ADVANCE!!