I’ve only ever done streaming, but there does indeed appear to be a Windows-based way to download their videos. Here’s the Windows portion of their FAQ.
(They seem to have realized that Windows users make up a large part of their user base, and in fact several of the tutorials I’ve watched there give both Mac and Windows-specific instructions where applicable.)
I have two PCs at my desk; one for Internet and one for music, and I use Synergy to share the keyboard and mouse between them. I stream the tutorials on my Internet PC while I’ve got my DAW open on the music PC. Their streaming browser lets you save favorites/bookmarks, so that’s how I keep track of where I left off, since I never have more than an hour or two at a time to do this stuff. I also pause a lot to try what they’re doing in the videos, so it takes me quite a while to get through these things.
BTW: ClubCubase on YouTube has started uploading Cubase 7-specific videos as well.