ScottyM, hello. If you live in the US, then what you describe is illegal. When I looked up the MPAA's website, pretty much every story on the front page is about piracy! This organization is obsessed. They also have information about what's legal or not. If you are buying or renting movies with an FBI or Interpol warning at the front, then it is not legal to share them with your family in other cities or states. At best it's an unlawful public performance, at worst you are distributing without a license.
Now, if you have a camcorder and shoot your own videos, you own the copyright and can do with them what you wish. In the US, any such works are copyrighted even if you don't take any special steps to register that copyright. Laws vary by country, so if you are not in the US things may be different. However, many countries have treaties that protect each other's copyrighted works so it's likely to be illegal wherever you are.