According to their site:
youtube-dl is a command-line program to download videos from YouTube.com and a few more sites.
Youtube-dl provides a means to download videos published online without a third-party. This provides security, convenience, and a certain amount of dependability.
To use it to download videos, I simply navigate to its location on my system(path):
$ cd path/to/youtube-dl.exe
And type in this command:
$ youtube-dl 'http://www.youtube.com/watch?v=P9pzm5b6FFY'
You will be given an output to your screen detailing progress of download. Once completed, you will be able to access your video from same directory as your youtube-dl.exe file.