On my iPad I have the craftsy app, I open the app, select the class, the class will open and you will find each segment/chapter below that. Each segment/chapter will have an arrow, click the arrow and that segment will begin downloading. You will have to select each chapter to download it, but you can also just ignore the chapters you don't want to download.
I'm not sure about PC, I see they have a playlist feature but I'm not sure if there is a way to download it directly to your PC.......perhaps someone with more expertise will come and answer this question for you.