You can think of usenet like one big forum with lots of forums beneath it but also the ability to store files within threads. It is also distributed ... i.e. it doesn't run on a single address. It also isn't a "website" like this forum is - it has its own protocol, client programs, servers etc.
This might be an overly technical explanation but perhaps worth a read:
Getting movies and music via usenet is something you need to be a bit careful about in terms of copyright, legal issues etc.