Hello, hothead. I'd say it's the extraposed subject of "must feel", with "it" acting as dummy subject. You could put "to live in Venice" in subject position, and the sentence would have the same meaning, though it would sound more awkward: The movie gave me the idea of how to live in Venice must feel.
(If we were going to use this word order, we'd probably choose "living" rather than "to live".)
I agree with Loob on the status of "it" as a preparatory/cataphoric pronoun.
As for the grammatical labelling, I'd say that the "prepositional phrase" is "in Venice" (preposition + noun phrase).
From the syntactic standpoint I'd say "to live/living in Venice" is the subject of the verb "feel".
Finally, I suspect "The movie give me the idea of how it must feel to live in Venice" should contain either "gives" or "gave".