You can try downloaders Allavsoft or Ant, follow below link to get them (Free, Giveaways)
https://onehack.st/t/browser-which-has-a-built-in-online-video-downloading-feature-like-uc-browser-but-for-windows/167803/6
I also found http://www.igrabdownloader.com/order.html but it costs $13 (lowest)
I’ve personally tried Allavsoft for Udemy n Skillshare
I think it also works for other course sites
!