Where can I watch films online?
I imagine that you're after films in English rather than in French. Netflix is an option (though don't bother with the UK version - most of the films / series have been on TV!).
Useful link - thanks very much. Does this work for everything like the iPlayer and other sites?
Yes. The VPN makes all internet traffic through your computer think that you are situated in the country of your choice. So BBC, ITV, Channel 4 etc should all work as if you were in the UK.
XBMC is the way forward. It's VERY fiddly though.
We don't have an Xbox unfortunately.
You don't exclusively need an Xbox - you can install it on your computer.
It's then one of the third party apps within it allows you to pretty much stream any film you like (even current ones).