This is old... but I didn't see a topic about this yet so...:
(with French subtitles)
http://www.premiere.fr/Bandes-annonces/Video/Winx-Club-l-aventure-magique-VOST-Making-of
The video should be an extra on the Magical Adventure DVDs.
Oh, I remembered this. There was an Italian version of this. It was posted on Magic Is Back Topic. ^_^ Unfortunately, I believe YouTube removed it due to the copyrights. Thanks for finding it back again. xD
lol I watched this and read the french subtitles to try and understand them in an attempt to study for my french final last week!
Nope there was no English version of it. =(