In the film refers to the surface of the water. The surface of the water will have a natural tension to it. The surface is what helps float your dry fly when you fish. Add to this a thin layer of dust, pollen, and debris that settles on the surface and you have the film.
Fishing in the film means that your fishing patterns just under the surface or partially under the surface. Maybe even a few inches below the surface. This is an import zone for the fish.
Emerging bugs must swim from the bottom, emerge somewhere along the way and break through the surface tension (film) and then dry their wings. Breaking through the film can be a tough job, meaning emerging bugs may spend several minutes trying to break on through to the other side.
Now, the surface tension will be different in different types of water. Typical, broken water has less surface tension so bugs can hatch easier in rough water. Slow moving and slick water has a much higher surface tension....so you'll see the most succsessfull duns flying away from the runs and broken water.
Hope this helps.