You're probably in a situation where XP is hiding the extensions by default.
Quite possibly the dumbest thing you can do on an OS.
Anyway, to start up a demo with the map command, you have to:
1. Make sure the demo is in your pball/demos folder.
2. Make sure it has the extension .dm2
3. Type 'map <demoname>.dm2', where demoname is the name of the file. (Sans brackets, of course)