After downloading your video, you need to make your screencaps. I use MPV Player - if you don't know how to screencap, I recommend this tutorial on installing, configuring and using MPV (and this one for installing on a pc). You can also check my gifmaking tag for various other tutorials including different screencapping methods/software.

Once you've made your screencaps, move them to their own folder. You will need an individual folder for each gif/import! I put them in a "screencaps" folder and within that label each sub-folder however works for what I'm making.

Open Photoshop and open (ctrl+o) the way you would any image. Find the folder with the screencaps you want and select the first image (technically I think selecting any of them works, but I always do the first) then tick the Image Sequence button in the bottom corner, then open:

4. You will then get a pop-up to set the frame rate - these are my settings and after setting it once it should save it for future, so then you can just click OK each time:

5. This will instantly open your gif in timeline mode with your gif made! I then just click where it says Video Group 1 in the layers panel and Convert for Smart Filters so that it can be edited easily (I actually have this step saved as part of an action to make it even quicker). It should then look like this:

And that's it! You can go ahead and do all your editing like normal. I find Photoshop runs quicker this way (especially when making several gifs at once) since it's essentially just linking to the file location instead of importing it all into PS!