1. You'll need to get the video file off Youtube, there's load of add-on for most browsers that will 'download' it for you. The file will probably be in the .FLV format
2. Get the downloaded file into a format you can burn a DVD from, which most likely means converting the 'jackson5.FLV' file to a widows video .wmv file, or .mpg format file.
3. Burn it to a DVD, or maybe just a video CD which should play on most DVD players now