Downloading is easy. Search for the video download it - for larger files you should have at least ADSL or it needs ages.
To copy it on a tape. I didnīt try it but it should work with a TV card. Connect your PC to the video (via the card), play the movie and record it while playing, as on TV.
For DVDs you need a DVD burner, without it it isnīt possible to make a DVD. And of course you need burning software which supports DVD burning (all newer/better ones should do it).
Morgwen