Try different formats and then decide which one you would like to download.

There are freeware programs that can download/capture from lynda.com, so WM Recorder can't be the best choice for lynda pricewise. For example, you can capture lynda streams with Freecorder and Jaksta Free Media Recorder.

Some DVD Players support DVD-Video discs only. Some newer DVD players can play AVI and some other videos.
If you need a DVD-Video disc, convert to it using freeware Handbrake.