From the main Video Tuturials selection page if a video can be downloaded it is stated below the link. Right click the link and select "Save Target As" to save it to your computer. Then the file can be burned to a disc if you wish. The format is WMV which is a Windows Media Player format.
They are individual files, and if you have "right clicked" to "Save Target As...", you can copy these downloaded files to a CD and view them just as you could online.
Edit: Oops, I had a few unanswered posts to view and Larry beat me to this one.