They're $40 from Amazon. Depending on where you live, you can also try your local library. A couple of libraries have the B5 DVDs available for rent.
Other than that, the DVDs are about the only option up here.
Welcome aboard.
First of all, where are you? In some countries, Babylon 5 is available on streaming. Even if you don't have access to it via streaming, you can get the moves in a DVD box set (Amazon link).
Even if you don't, no, the movies are not absolutely essential.
There were six movies. The first was The Gathering. It was the series pilot, and it introduced the characters, and the setting. Ideally you should see it before watching the series. As a standalone movie, it isn't fantastic, but it does set up a lot, and it's strongly recommend. But it's not absolutely necessary.
There were a total of six movies:
If possible, see The Gathering before the series, but it's not like the series won't make sense without it. There was a year between the time the pilot movie aired and the series started, so a few of the actors in the movie don't appear in the series, so their characters were replaced anyway, and their first appearances are in the first few episodes of the series.
As for the other movies, they're nice to have, and if you plan to see the sequel series Crusade, then A Call To Arms is very important since it's the pilot for that series.
But no, none of the movies are integral to the story.