Try going to your iTunes account and look under "Store". At the bottom of the "Store" list, look for "Check for Available Downloads". Click on that and see if your movie isn't listed. If it's not, check "Purchased". You should be able to download from there.
When you download a movie straight to the ATV, it never gets downloaded to your computer, so it can't be distributed. That's why when you rent a movie on the ATV, you can only watch it on an ATV. Once you download it, you shouldn't have any problems opening it.
Hope this helps