You can watch demos in media players after you turn them into movie files. First, use the steps outlined above to play the demo you want, then use the command
startmovie (insert name of file you want here) (how many frames per second you want)
25-30 is usually a good FPS so
startmovie esfmovie 30
This will create many, many GIF files in your esf directory. Now search google for a GIF to AVI converter, I'm far too lazy to do it now but it's not too difficult to find one. Then insert the GIFs in the order you want them using the program, and convert to AVI. Simple
Sort of...
Warning: This requires quite a bit of Hard Drive space, so make sure you have a reasonable amount before trying.
Haven't done this in a while, so if I'm wrong please correct