iExplorer will only let you search the currently opened directory by keyword and only at that folder level. It’s not possible to search the entire disk by keyword. That would require indexing of all folder and file names on the device which would take quite a long time to do, though I will certainly ask our developers to possibly add that feature in a future update. For now, you can only search the directly level being displayed in the iExplorer window by keyword, so you would need to navigate to the proper directory first.
If you let me know how you downloaded the movie to your iPhone and let me know specifically which app you used, I should be able to help with the folder path to look in.