How can you put clips of youtube videos into your own videos?

Ok well Im trying to make this video for my favorite boyband (yes boyband lol). Me and my friend sorta recreated one of their videos and what we want to do is insert clips form their videos into ours. Im using windows media player but it wont let me drag the videos that I downloaded into the collection. How can I insert the clips?

nvm I figured it out =)