The same video that Rick mentions (which is about both the Armed Guard and the merchant marine and also available as a DVD,) is available at http://www.militaryvideo.com/store/store.cfm?titleID=MM1940V&do=detail. I believe it is more of a training film rather than a documentary but may be of interest. Like Rick I cannot vouch for its quality.
Ron Carlson, Webmaster
Armed Guard website www.armed-guard.com