In old american documentaries I noticed that they would pronounce the word what with an / h / sound.
But these days it is not pronounced with the / h / sound.
I wonder if anybody would explain.
Thanks in advance.
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It's an accent feature. Look up the wine-whine merger
Basically it means that some people, depending on their specific accent, still use the "hw" pronunciation, although in countries such as the US it seems to be diminishing. Most of the UK has undergone the merger, except for Scotland and Northern Ireland (and perhaps the Republic of Ireland, which isn't part of the UK).
I'm Scottish and the "hw" pronunciation is still very much alive here.
In Scotland words such as Wales and whales sound different, as do witch and which. For most Brits with English (from England) accents and probably most Americans, these words are homophones.
As far as how you should pronounce it, it's up to you. Using the "hw" pronunciation is not a barrier to understanding, although I'd say the merger is more common today among native English speakers around the world.
You might find it interesting that the OED lists /hwɒt/ as the pronunciation of "what", and /hweɪl/ as the pronunciation of "whale", with no mention of wine-whine merger alternatives. I assume that's because the OED primarily uses RP as the defacto pronunciation.