Is it illegal to create a DVD using videos from you tube like if you wanted to burn the movie the lion king is that legal?

Yes, it is illegal.

The person who uploaded the video is violating copyright, and you are violating copyright in downloading and burning it.

The law against copyright prevents you from *copying* things - ie. uploading them to YouTube, or burning them - without permission. So it does not matter where you get a copy of The Lion King from, if you copy it yourself by burning it without permission of the copyright holder, ie. Disney, you are breaking copyright law.