* I would install the Firefox browser if you don't already have it.
* I would then get the free Firefox add-on called Download Helper
* When on a video site, go to your tools menu in Firefox (at the top) and use the Download Helper to download the video.
* Once downloaded, you can use Microsoft Movie Maker (it's included in Windows XP) to place your videos together to make a DVD.
* Burn your movie maker project to DVD.