Its pretty easy to do.
Just open itunes and go to the movies section. Click file - add and add your video file to the movies section in itunes. Make sure your iphone is connected then you just sync to iphone, click the apply button showing at the bottom. You also need the checkmark on the box the videos you want to sync, so you should see a little checkbox by each video, check that video before applying as that will then copy.
Go to the movies icon on your iphone and you will see the video file there.