Get to know iTunes.
I assume you have the latest version of iTunes installed on your PC? With the iPad connected one transfers files (movies, photos, videos, mp3s, PDFs etc) back and forth through the iTunes interface. Either by “synching” or drag and drop.
On the PC iTunes click on the device. Across the top are the tabs for various things.
In the left hand column click on the device name and you can see folders for movies. Just drag an drop.
A very useful app is called GoodReader. It can read many types of files, including zip files! download from the web, and play back most media.
With iTunes PC select the app tab across the top, scroll down until you see app sharing and there you can also transfer files in and out of the iPad
I was confused and frustrated as hell about simple file handling also until I got used to the iTunes centered approach.
If you right click on the device name you can easily back up the iPad to your PC.
The DCC (Digital Camera Connection) kit is handy for grabbing photos off of your camera and gives you a USB that some audio interfaces can use - only externally powered ones, the iPad isn’t designed to power USB devices.