I downloaded the demo build 205 sometime ago and I installed and it simply went to desktop with no error message either. I never solved it and pondered it being an XP issue since I use XP Pro. I never had the time to worry about it. Oddly I just went to the website and see no demo listed (?).
After reading your post I re-installed the demo [I had it archived] and ran it. Surprisingly I had no problem. So what has changed since I tried the demo before and now? Well, I installed XP SP1 and I updated my nVidia GF3 drivers. Personally, I think it was the nVidia drivers.
I'm using the Det4 40.72 betas. Give it a try.
My sys:
PIII 750, 768 MB PC100 SDRAM, Visiontek GF3, Win XP Pro SP1.