FileNotFoundError: [Errno 2] No such file or directory: 'movies.csv'

[buran]

you don't want empty file. in normal business case if the file does not exists, you would inform user the file does not exists, then advise user to add some movies first before being able to read from the fileFILENAME = "movies.csv"

and no, this

FILENAME = "movies.csv"

just craete a variable FILENAME, that points to str object 'movies.csv', or in simple terms variable FILENAME has value 'movies.csv' which is string. No I/O operations whatsoever.
I'm afraid that you show some lack of basic knowledge - you should revisit this topic