Most types of media come with what's called a "license." It basically outlines what you are, and aren't allowed to do with it i.e. "You're allowed to watch this DVD, but you are not allowed to copy it." Things get a little trickier when the thing that has the license allows you to make things with it. Software like Photoshop has a license saying "You can use this software, you can't copy it, but anything you make with it is yours."

Some videogames don't allow you to make anything using the game, so things like machinima and Let's Plays are technically against the rules. Nintendo used to have super tight restrictions on what content could be made using their games, but I think they might have loosened up in recent years.

This is where D&D's license comes in. When it was released, it was released with a "Do whatever the fuck you want," license, which was great for players and content creators both since there were basically no restrictions on the stories you could tell, or how you wanted to release those stories. Recently though, the company that makes D&D tried to change that license to basically restrict what people could do with the game and try to put the company in control (especially financial control) over what content people made with it. They backpedaled soon after though, so it's hopefully water under the bridge at this point.