The movie does explain more about him, but the show gives us a lot of info, too.
He is known as The Man from Another Place.
He basically is associated with, or even IS, Mike...the spirit that possessed the Gerard, One Armed Man. in the show, Gerard tells us how he cut off his own arm. In the movie, TMFAP tells us that he IS the arm.
TMFAP is enemies with Bob because Bob stole the garmonbozia (the creamed corn that represents fear/death/etc) and kept it for himself...to feed himself and grow more powerful. TMFAP makes Bob pay him back, so Bob uses Laura Palmer's garmonbozia to do so. TMFAP then "double crosses" Bob by helping Agent Cooper identify Bob's mortal host, Leland Palmer, thereby ending Bob's ability to collect more garmonbozia.
Twin Peaks is rad. I was pretty obsessed and am still a huge David Lynch fan.
The last time we were in Seattle, I took my wife to Snoqualmie Falls/Salish Lodge outside of Seattle just so we could see The Great Northern and take pics.