The Alice Cooper movie I know of is called "Good to See You Again, Alice Cooper." It was made in 1974. I've seen it - my husband has it. It's... weird. Even for Alice Cooper I mean. It's not what you'd expect. There are parts that are almost slapstick. It's concert footage from the Billion Dollar Babies tour intercut with a "story" of Alice travelling with his band and meeting all sorts of strange people and getting into strange situations.
Here's the link to the DVD on Amazon.com:
http://www.amazon.com/Good-See-Again.../dp/B000BCKXT0
It's not very expensive, at least.
Jan