Are you getting an error?
Are you sure you're trying to open them while in the game (from the Main Menu, select Play then select Recorded demo or whatever the option is called). We don't have an official demo launcher that lets you open the demo by double clicking it inside windows.
Is it only certain demos, or all of them?
Are they all in the c:\Games\paintball2\pball\demos folder? The Play menu isn't friendly with subdirectories (yet).
If all else fails see if you can load the demo through the console, the command would be:
map mysweetdemoname.dm2