If you have created a playlist in YouTube, you can download them all using RealDownloader to your RealPlayer. Once you have it in your RealPlayer, you should be able to burn them to a DVD.
As mentioned previously, all videos downloaded from YouTube using RealDownloader will be stored in your C drive. To know where exactly a video is stored. right click on the video in your RealPlayer library and click Locate file. This will show where the specific video is stored in your C drive.
Please let us know if you have further questions.