Can I add videos from iTunes and use them in Windows DVD Maker?

So, I have iTunes for Windows. I bought a series of music videos that I want to put onto one DVD. So I can watch it for my own purposes. So I went into Windows DVD Maker and opened up my iTunes folder in Windows and got to where the music videos would be, it said nothing was there. I exited DVD Maker and went to see I'f my files were still there. They were. I tried dragging the videos in, nothing happened. How do I do this? PS: No. I am not trying to make 1,000 copies of these videos and sell them.