Is your question about a WD media player, or about downloading movies in HD format ?
WD devices can play .MKV files and, depending on the model, usually have an HDMI Out socket.
The size of an MKV file is related to the length of the content. A 2 hour movie could be as large as 4GB, though that's not a hard and fast rule. I've had issues with getting a file of that size onto a USB drive (FAT/NTFS limitation).
The specifics of downloading movies is generally not allowed on AAM.