Thanks for the help. I didn't know what the root prompt meant, but its extensions gave me some good ideas to run through the windows search function. After that it didn't take long to locate the files, and I had the demo up and running in no time. I'm not sure why the files were buried so deep. Usually when I download something, all the files are right there, but this was an exception. It's a nice demo, though I wish there was a way to move the camera directly up and down the y-axis.
About the root:\, is that a Unix thing, or is that just one more thing that I don't know about Windows XP? I did a quick Google search and the results seemed to reference Unix.
Anyways, thanks again for the help.