Unfortunately, courses cannot be downloaded to a PC or Mac unless the instructor has made the lectures available. However, you can save courses for offline viewing on the Udemy mobile app.
Downloading a Lecture
To see if an instructor has enabled downloading for a lecture, move your cursor to the gear icon at the bottom right of the lecture player. If you see Download lecture, then you can download it to your computer by clicking on those two words.
If the lecture is not available to download, you can always message the instructor, requesting that they enable downloading. Some instructors are willing to make exceptions, but the final decision is always up to them.