there's also 3rd party apps. I prefer AV player HD however VLC is a free and popular option. they play *most* formats - I've rarely encountered a file that isn't compatible. the native videos app is very restrictive, always has been, and was one of the early criticisms on the locked down nature of the iphone. once you have those 2 apps though, you'll entirely forget about the native app and its issues!
AV player allows wifi transfers, but generally I add content via itunes. plug in device, select 'apps' from the sidebar. the top half of the screen will be your screen layout with the list of apps to add/remove. scroll down and you'll be at the documents section - where you can transfer documents to any of your apps that support this.
this is how it is on mac itunes, windows will be broadly similar with a few differences perhaps.
dropbox is another option - set up the app on your phone, upload the videos to your account via the PC, then you can access them on the phone and save to camera roll
there is no drag and drop with iphone
also be aware that stuff like music can only be added via a sync, and you have to use the same computer to sync. there are temporary workarounds (e.g. if you need to add music using someone else's computer) - dropbox would be the one I'd try for music and photos. however with adding videos and documents described above, you can do it on any comp with itunes - does not need to be synced to add this data