The problem is that the format on the web is FLV which will not work to make a DVD. The format has to be converted to AVI or some other format which can be imported into a program to make the DVD.
There are many out there, some paid and some free. I always try the free first. Why pay if you do not need to? Just because they cost something does NOT make them better.
I found one that works very smoothly. It is called Pazera Free FLV to AVI Converter found at http://www.pazera-software.com/products/flv-to-avi-converter/. I had some 58 videos to convert and the program did them all flawlessly.
Then of course, you need to use software to make the DVD. Since almost all DVD burners come with that kind of software, I will not discuss much about that. However it is safe to say that two FREE products stand out in my mind. They are Ashampoo's Burning Studio 6 FREE. They will bug you about upgrading to V8 but it is worth the bugging to get such a simple straight-forward product. Also CDBURNERXP deserves honorable mention as another free product I often use. Both of them work seamlessly and well.
Two places on the web have come to my attention where downloading and conversions are possible.
WWW.keepvid.com will help you download, convert to many formats and play flv files.
Tubegrip.com will download videos as well. There also is a free desktop downloader with limited conversion formats.
I have not used either of the above, but try them out and let me know if they work for you.