Udemy provides their Udemy app for IOS and Android which allows you to download courses that you have paid for to view in offline mode. However, they don't have an app for Windows 10.
The closet thing that they allow is for you as a user to right click and save each video individually. Which is a major pain when a Udemy course can have over one hundred videos.
This is where Udeler comes in. Udeler which is available for download at Udeler GitHub automates the process of downloading the videos of your Udemy course.
As a bonus, it also downloads any extra documents like PDF files that the course author may have included and in some cases, also downloads the software necessary for the course if it is linked to in the Udemy site.
Udeler also has options to set the video size and if you want to download subtitles for your course.
Once the app is installed, simply login with yout regular Udemy Login and Password and it will bring up a screen with all your Udemy courses available for download. Select the course and hit the Blue button on each course to start the download
Just remember, Udeler is only able to download courses that you have paid for, it can't download a course you want but haven't paid for.