Movies have historically been captured and projected from photographic film, so the term "film" has been applied to what are commonly referred to in the US as "movies" (which is a shortened version of "motion picture"). In the US, the terms are interchangeable, but most major, commercial motion pictures aimed at a broad viewing audience (in the hopes of making a profit) are usually referred to as "movies". The term "film" is commonly applied to movies of an artistic or educational nature not expected to have broad, commercial appeal. But using one term for the other will not cause any confusion. "Have you seen the latest Harry Potter film?" or "Last night I watched an Australian movie on TV". "Movie" may also be used by a critic in a derogatory way, such as "That was movie, not a film" would indicate the critic's opinion that the motion picture was not what she would consider "art".

Adding onto Jura, the word "film" can be used as the verb version of the two - you can film (capture on video) a movie, but you can't movie a movie.

Good question!