It means a brief look maybe with a bit of cunning involved. It can be used in other contexts. 'The schoolboy took a sneaky peek to see whether the teacher was watching him.' 'The dog took a sneak peek of the room before he curled up on his bed'
A sneak peek at a movie (in UK English we tend to use the word film instead of movie) is normally used to describe a trailer or quick look at the movie(film) to encourage you to watch it.