Technically yes, but this isn't something we can provide technical support for. Why? Because there so many variables involved (types of DVD player, types of DVDs etc.).
When you download lessons from your courses, the videos files are in a format called MP4. You can add these files to a DVD and many newer DVD players will recognise them and all you to play them, but older DVD players won't.
There are plenty of online guides that will help you convert MP4 files to DVD format but you'll need special software to do this (there are free versions of this software). You do need to be fairly technically minded to however.