I'm using it on Windows 10, I assume your also on Windows. Here are the steps:
• download youtube-dl
• download ffmpeg , it will also include ffprobe & ffplay. I got the .zip version & extract all.
Now make a folder called youtube-dl and put youtube-dl in it along with ffmpeg, ffprobe & ffplay. Place this folder in your desired directory.
With the folder open you'll see what looks like an address bar above it. Click in there and type cmd then press enter.
Then you have to select the youtube-dl exe by pressing tab until you see it. Give a space once it is selected then type this
-u email address -p password course link then press enter.
It should be the email and password you use in your browser to sign in Udemy.