Hedwig was a gift to Harry on his eleventh birthday from Rubeus Hagrid and was purchased from Eeylops Owl Emporium. Owls are used by wizards to deliver mail, but Hedwig was also an important companion as Harry was initiated into the wizarding world.
I always found the movie scripted Harry to be off from the book. The awkward moment when the actor playing Harry Potter is a better representation of book Harry Potter than movie Harry Potter. This is gold.