Not Cathe, but I just did this workout this morning so it is fresh in my mind that Cathe says during the workout that you can substitute dumbbells if you are more comfortable or can move more quickly through the workout.
For most leg exercises (presses, squats, lunges), you can hold the dumbbells by your sides. For deadlifts, you would hold them in the same manner that you would hold a barbell (side to side). Just be sure to use proper form for each exercise and pay special attention while using the dumbbells.