the only way i know of to convert the dem files to movies is to get a program like VideoMach.
when playing your demo in halflife type startmovie xxxxx yy
replace xxxxx with the name of the movie u want and yy with the frames per second u want. when u close the console it will start going slow. this is because its making yy screenshots per second. then just open console to stop it
go into videomach and add all of the screenshot files and then compile it
NOTE this will not have sound as they are just screenshots... this is the only way that A LOT of sites tell u how to do it and the only way that i know how to do it
2nd NOTE depending on the length of video u want, the amount of screenshots take up a LOT of hdd space, make sure u have plenty free...
i have made videos of cs with this, and put music in the background. i had System of a Down - Toxicity playing in my video of CS and i must say the video was fairly FKN COOL
videomach is fairly straightforward and i dont think i hav to explain much more than i did, so happy vids!