I have often assumed they may have found them through movie soundtracks as well. Possibly (although the movie was mentioned by Dylan not Eric) Rammstein was featured on the Lost Highway soundtrack.
KMFDM and Rammstein were popular in America (at least as far as underground-ish industrial rock/metal is concerned) and the two were active internet users. Also they both, Eric especially, had a fascination for German culture which I'm sure pointed them in the right direction, as they were already interested in Industrial music (Trent Reznor of Nine Inch Nails did the Quake soundtrack).
So I feel it was a mixture of exposure through various forms of media such as movies, computer games, internet and probably through their friends as well. It seems quite a few of the other Columbine students were into Rammstein. I believe the bands may have toured the U.S. and passed their location as they mention seeing KMFDM live once.
As a side note, Rammstein were very popular where I am from (mystery location) in the late 90s to mid 2000s, same with Nine Inch Nails and quite a few of the other bands they liked, but I'd never heard of KMFDM until I found out about Columbine.