Wikipedia is your friend.
From what i know -
All three movies from the Naruto have been release in the US. However, from Naruto: S, only the first two movies have been release here in the US. Word of advise, I wouldn't bother watching or owning the first Naruto: S movie. It totally sucked. The second one, Bonds, was way better.
Edit: I just checked, Wikipedia, it turns out that the third Naruto: S movies was also release . It came out last year in October, which by the way, its also a good movie.