iOS 5 has changed everything and comes with a new look and new options as well, just for the pictures , all you need to do is to save a video. The process are:
Step 1: Open the Email, messages, safari and others from where you received the movie in.
Step 2: Tap on the icon or preview and hold on it for few seconds.
Step 3: When the Save Video button pops up just tap it .
That is it, your video will now be save to your Camera Roll for you to use as you so wish for.