I could give you a very long answer to this question -- but the short answer is this: we usually use do/does to form questions and negatives in the present simple tense (unless we have a modal verb like "can" or "will"). For example:
You have written a book. (Present perfect)
Have you written a book?
You haven't written a book.
You like comedies. (Present simple.)
Do you like comedies?
You don't like comedies.
kahhong, to answer your question: It's the simple present tense. This usually means an action that is repeated sometimes or often -- every week, once a year, on a Thursday if the moon is full. Because you say "the movie", this would mean that you are asking if they regularly go to watch a particular movie -- the one that has been mentioned before (for example, Pirates of the Caribbean). It would be more normal, if you are asking about what they are doing now, to say: "Are they going to watch a movie?"
There is an exception. We also use the present simple to describe the plot of a movie or a book (or an opera, play, short story, sketch... you get the idea). I can easily imagine this conversation:
A: So what happens in the story?
B: Well, they have an exciting car chase, and then they go home and start talking about a really great movie that's playing at the cinema.
A: So, do they go to watch the movie?
B: That's what they decide, but before they get there a big UFO lands in the street and some aliens kidnap them...
It could refer to a repeated action: "Do you have a pen every Monday afternoon at 3 o'clock?" -- but that's not a very common question. Here, it's something that is generally true. When "have" means "possess" or "have somewhere near so that you can use it or give it to me right now", we normally use the present simple.