I would highly recommend familiarizing yourself with youtube-dl (also mentioned by [Login to see the link] above).
The reason youtube-dl is ultimately better, is due to the flexibility, constant updates (crucial to ripping video), and countermeasures that you gain when using youtube-dl.
The only downside to youtube-dl, being that with more flexibility, comes more learning-curve. Fortunately there are now a few GUI options. Of all the GUI's, only one provides what you need to use with Udemy.
This is the only GUI option that provides the "advanced" settings you'll use:
[Login to see the link]
I'll do my best to walk you through the entire process:
(1) The most important concept to understand, is that in order to rip videos from sites that require a login -- your video-ripping tool must appear to be "logged in".
(2) The only way to appear "logged in" that can be used for multiple solutions, is by passing cookies from an existing login. This can be easily done with a plug-in.
(3) One of the easiest cookie copy/paste plugins is probably: [Login to see the link] -- note, this is not available on the Chrome market any longer; however, you can install using the Firefox link above. If not familiar with this process, google for very simple instructions. They also have alternatives in the Chrome App Store; however, Cookies.txt is the popular option that you'll see in most tutorials.
(4) Login to the website where you would like to rip videos, in this case Udemy. Copy the cookie using the "cookies.txt" extension.
(5) Run the YoutubeDL GUI by executing: YDL-UI.exe (YTDL is already installed as part of the installation, under the /bin directory).
(6) Choose the option to Add URL. Important: When adding a UDEMY URL (this is only with UDEMY, this issues does not exist with other sites) -- strip the URL down to the most basic course, like this:
Original URL:
[Login to see the link]
Pasted URL (remove "/course/" and everything after the course name):
[Login to see the link]
(7) In the YTDL GUI "Add URL" window, choose the "workarounds" tab. Here you will paste the cookie you copied from the cookies.txt extension. This causes YTDL to "see" Udemy as if you are logged-in, with access to the same videos you have purchased.
(8) From the same "workarounds" tab -- Many times it's a good idea to set a spoofing user agent as well. Just choose the latest Chrome UA (if your cookie was generate din Chrome), for example:
Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/89.0.4389.90 Safari/537.36
(this is from a dropdown, you don't need to use this exact UA or copy/paste this)
Next you'll simply click the "Add" button, or modify any custom settings -- then choose to start downloading. It should download all videos in your course, it's very quick and easy once you have these basics down 🙂
SIDENOTE:
On the chance that you prefer to avoid all technical skills and want a point-and-click solution, here on SANET, there are a few tools. One of the most up-to-date currently is: [Login to see the link]
BTW - In addition to Udemy-DL mentioned above, there is also an open-source point-and-click GUI option too:
[Login to see the link]
However, again, I highly recommend the 10 minute learning-curve to familiarize yourself with Youtube-DL, which you can use for hundreds of other sites.