FLV is the file format actually used by Youtube but it's not recognised by Windows software. i.e. Windows MediaPlayer won't play it and Windows DVD Maker won't accept it to burn DVDs. (You can play FLV files with both VLC and GOM though, which are both vastly superior media players to Windows Media Player).
You'd have a better chance of being able to create a video-DVD from the file if you downloaded it again and chose MP4 format. Even that, however, isn't supported by Windows DVD Maker. So you need third party software. I think that this might well do the job for you but I'm not entirely sure:
https://www.ashampoo.com/en/usd/pde/7110/burning-software/Ashampoo-Burning-Studio-FREE
(It's excellent software, which I've used myself, but I've not actually tried to put Youtube files onto a disc. However it's definitely worth a go and it's fairly intuitive to use. i.e. you simply start the program and follow the instructions).