MOVX is to access external memory which in the original 8051 case means off-chip memory.
You definitly need hardware for that - mainly some SRAM to connect to the mcu. P0 and P2 will become your data and address bus. You need a latch at P0 as well and connect ALE and some more pins. I think that should be documented in your data sheet - and in the bible as well.

AFAIK soem modern mcus provide onchip memory that can be accessed with MOVX but in most cases it has to be wiredup externally.