Wow...Either the writers really screwed up the movie, or we're seeing things...o_O

I actually didn't notice it until the second time I watched the movie and realized he was wearing a harness. Then I went back to the series and you could see the shoulder thing was screwed in, it wasn't something you could just pop in and out. And if Al healed Ed, and he relost his limbs then the holes for it would have been gone. Winry would have had to rebore holes into his body to put a new one on.

Ah yes, good eye. You're talking about the shoulder-mount, it's a joint that allows the arm to mount on his body. I didn't notice that at all until you've mentioned it now. Looks like another inconsistency

I've seen the movie so, here is your answer.
[spoiler]Ed's limbs get taken away again, because automail hasn't been invented. But right before Honenhiem left in our world, to go on a journey, he made the prostesis arm for Ed. So when Ed goes back to Al's world, and meets Winry, he still has the prostetic arm and leg, because it was invented. Then Winry sees how hard it i for Ed with it on, and gets out the automail she made specially for him. So now he has automail again. But when he and Al go to our world, he has a prostetic one again. [/spoiler]

Still doesn't explain the shoulder mount. It's a pretty big piece of equipment that's clearly not there in the movie. Watch when Ed is sitting on the bed putting his prosthetics on while talking to Noah. The arm is attached to his body by two leather straps going around his mid and upper torso. Later when Winry opens her case it shows an arm and a leg, no shoulder mount. Then he's all of a sudden got it on when she's done putting the arm back on. Winry would have had to re-prefom automail surgery to get it on him again.

Winry: (pulling out a giant hand crank screwdriver) Okay, Ed, hold still. This might sting a bit.
Ed: What the heck is that?
Winry: You idiot, I have to replace your shoulder mount.
Ed: What?! No, no, that's okay really! I LIKE having a lousy prosthetic for an arm! Really!
Winry: Oh stop being such a baby and hold still.
Ed: Ahhh, Al!! Save me!!

I think Hohemheim made his prosthetic arm's shoulder mount suitable for automail, because all along Hohemheim wanted Ed to go back, and assume he needed automail again, so if you see carefully, it goes onto his shoulder like his automail shoulder mount. Winry can just take that off and stuck to shoulder mount onto it... (ouch)

Winry brought the shoulder mount with her alright... They never showed the lid of the case she had, and the mount and all the stuff she needs might be there. His prosthetic arm worked exactly like automail (except not steel and the lawn mower starting), Ed's shoulder sent message to his arm and the prosthetic arm picks it up, so it had the same structure.

Hrm.... I don't believe our world's technology is quite up to snuff when it comes to prosthetics. Even if Hohenheim had believed Ed would go back, he wouldn't have been able to fit Ed with the appropriate apparatus. The harness that Ed wears after he loses his limbs again is primitive by automail standards: you can see that it straps on as opposed to being surgically attached. Hohenheim was a genius with 400 years of experience and learning and so it seems his versions of prosthetic limbs are more sensitive and better articulated than the ones that existed in our world at the time, but they are not as robust (Ed's fingers get blown off in the villa and later his leg shatters when he tries to run after Al in the underground city). The non-automail arm and leg read nerve impulses in a less sophisticated way; the automail versions hurt so much on attachment because they interface with the body in a more "intimate" manner.

It is possible that Winry carried the entire mounting apparatus with her, but I agree with Jedi28 that the attachment of automail is a painful and lengthy process. Al restored Ed's life and his limbs at the end of the series. Ed's body would then be as if he'd never had automail. So when he went through the Gate into our world, there would have been nothing for Hohenheim to work with and nothing for Winry to work with when he came back. For her to re-attach the whole kit-and-kaboodle, she would have needed the facilities of the Rockbell Automail shop!

Bit of a plot hole.