Tell yourself that what you saw was just a movie and in no way real. The things you saw in the movie are highly unlikely to ever happen in real life.
Spend time with other people. If you watch a movie alone, you are much more likely to be scared. Talk to your friends or spend time with family after seeing a scary movie. This will take your mind off of what you have seen, allowing you to forget it.
Watch a funny movie to help you take your mind off the scary one. If you do not want to watch another movie, listen to some relaxing music or read a book.
Do exercises, like push-ups or crunches, or go running. Right after seeing a horror movie, your body is filled with adrenaline. Exercising is an ideal way to "spend" that adrenaline, and you feel more relaxed afterward.