You first need to login into Udemy and export all your cookies. On Firefox you can use this extension: https://addons.mozilla.org/en-US/firefox/addon/cookies-txt and export them as cookies.txt.

Then you get the URL of the course, like https://www.udemy.com/my-course

With those two informations you can just run:

youtube-dl --cookies cookies.txt -o './%(playlist)s/%(chapter_number)s - %(chapter)s/%(playlist_index)s %(title)s.%(ext)s' COURSE_URL