No, you don't use an article before book or film titles. These are names, the same as people's names or place names, and they don't need 'the'.

You can say, "Have you seen THE FILM Gone with the wind?" Italics can be used for the title. If you do not use the words 'the film' then NO article is used (unless it is already there in the title!)

You should never put 'the' in front of any proper noun, but there are many cases when 'the' is included within the name of the proper noun ex. "The Hunger Games", "the United Kingdom", "the Pacific Ocean", "the Sunday Mail" etc. You just have to memorise these on a case-by-case basis.