You don't necessarily have to shoot everything yourself in order to make a film. There are all sorts of exciting, creative and serious things you can do with 'found footage' (ie someone else's) and 'found sound'. Indeed, it's a great idea for a group to practice with this kind of material before embarking on more ambitious projects, but it's also worth doing it for its own sake too.
There are increasing amounts of material readily available to work with, especially if you have a fast internet connection and a reasonably capable computer. In particular, there is a UK initiative called the 'creative archive', which provides clips (from the BBC, the National Film & TV Archive, amongst others) which are free to download, and free of copyright restrictions if used in non-commercial contexts.
Found film, sound and still images are usually provided under a Creative Commons licence. This is a wonderful concept which allows creators to choose from a small number of licence options for free. They can let other people use and reuse their work non-commercially as long as they get credit. You can find out more at the Creative Commons' website and you can watch a video about how Creative Commons has helped filmmakers