Nuclear and CrisB and for that can not run the demo, because it opens and close it right after, go inside the folder of the demo and look at the log file. If it says this:
(ERROR) S2Engine::Initalize(): Cannot instantiate AudioDevice

Than, you have to install the OpenAl sound library. Here is the link: http://developer.creative.com/articles/article.asp?cat=1&sbcat=31&top=38&aid=46