Screen the movie with your eyes open. Do not be a passive viewer, interact with what is on the screen by questioning it, asking questions like: What is the role of morality in this film? How big a role does fate play? What does it have to say about love, life and death? What is the artistic mood and what effect does it achieve? Take notes.
Watch the movie again. This is necessary to ensure you fully understand what the filmmakers were saying, to pick up any detail you may have missed the first time and to double-check your own observations. Repeat as many times as needed.
Review your notes to see what stands out. If you took a lot of notes, you won't be able to include all of them, but certain themes should stick out. Choose these as your philosophical themes to explore. For example, if you screened "The Dark Knight," you might have lots of notes about the interplay of good and evil, the responsibility of the media and the role of man in society, so write about these.
Ponder the themes you have chosen. Try to think about these themes in the context of the movie and try to think if it corresponds to the views of any philosophers. Consider, for example, what Nietzsche or Schopenhauer would say about good and evil in "The Dark Knight," or what Hobbes would say about the society it portrays.
React to these views. Ask yourself if you agree with the philosophical viewpoint of the film, and if not ask yourself why not. Once you have solidified your personal philosophical critique, search out philosophers who can back you up.
Organize your thoughts into an outline. You should have an introductory paragraph introducing the movie, a paragraph for each philosophical issue discussed, then a conclusion summarizing your opinion of the movie and its underlying philosophies.
Write a first draft of the review then revise it until its exactly how you want it.