Sure. It may be more sensible to work with larger objects that each contain a single movie though, depending on what your intentions are. But if you want a simple array of movies it works just like an array of any other type of object, like this...

1. Movie[] movies = new Movie[3];
2.  
3. movies[0] = new Movie(this, "mov1.mov");
4. movies[1] = new Movie(this, "mov2.mov");
5. movies[2] = new Movie(this, "mov3.mov");
6. 
   
7. etc.