YouTube-dl consists of a single executable file, youtube-dl.exe, which you can download directly.
YouTube-dl does not have an installer, like most Windows programs.
You can check the video's license type on its YouTube page by clicking 'Show More,' then clicking the license name. Many YouTube videos use the standard YouTube license, and some are licensed under Creative Commons, for example.
Downloading a YouTube video is legal if you use it in accordance with its license.