That's because you're using Windows, which is really, really not designed with scripts in mind.

Point to Ubuntu in the Microsoft Store. Python is preinstalled. You may need to install Python's package manager (I'm not sure does it come preinstalled) with "sudo apt install python3-pip". Install it from Python's package manager with "pip3 install youtube-dl".

You could technically skip Python's package manager by just doing "sudo apt install youtube-dl", but updates are slow there, and you really don't want slow updates with this tool ("pip3 install --upgrade youtube-dl"). I'd argue that three commands are way easier to explain than installing two binaries and clicking around far too many times, especially because youtube-dl needs to be updated on a regular basis in order to work properly.