First of all, you can't load a DVD onto an MP3, because MP3 is a format which only takes sound. Secondly, you can't copy DVDs onto other devices because that would involve breaking the copyright protection on DVDs, which is illegal.
You can, however, buy movies online and download them for your portable media player. The sites you can use depend on what type of portable media player you own. If it's an iPod then you have to use the iTunes Store. If you have a device which is compatible with Microsoft PlaysForSure (e.g. most Creative video players, and recent Sony ones) then you could use a service like Amazon Video On Demand if you're in the United States - PlaysForSure movie download services aren't widespread outside the US yet.