"When we are watching a movie, please don't talk."
I'm just guessing that since it is an imperative request for a general state, not specifically a future or present continuous event, it skips the 在. I know in English we can use the continuous tense for a request like this but I'm not sure Chinese can. Perhaps continuous verb tenses do not work well with 时候
It means time, so 我们看电影的时候 is the "we-watch-movie time". The entire phrase is the time element of the sentence. "During the we-watch-movie time, please don't talk." When you translate that to English we use a "when" phrase, "when we watch movies" or in this case "when we are watching a movie".