It depend with the brand of your phone and the memory that you use ( memory card or the memory of the cell phone).
I know that for samsung and nokia there are a special format which mean that you have to install the cd that they gave you when you bought the phone and convert your video before putting it into your phone ...
But usually it's really easy, just select the video, make sure that you connect your phone to the computer by bluetooth, cable or IR and sending the video ( avi, mpeg or divx) into the right folder ( video)!