After downloading the application, double-click it and you'll see this window:
Right after doing it you'll see that your status changed from disconnected to connected and the button Load Courses got enabled. Click it and a list with all the courses you are currently enrolled in will be downloaded and displayed in that white area:
As you can see in the previous image, you will be able to select just the videos you want to download among all your courses. Then click Download and a new window will pop up (we're almost there!):
In this window you can set three options. The first one is the destination folder, pretty straight forward. The second one is "Overwrite files?" which you can disable if you don't want Dhulkee Coursera to download a video if it is already in the destination folder. The last option "Add a number to the file name to keep the order?" is also pretty straight forward. It will add a "1 -..." "2 -..." to the files and folders so that you know which videos comes first. As the description says: just to keep the ordering. And then, click OK and your files will be downloaded:
Yup, it's as simple as that. Any questions?