my desktop will not play demos?

i keep downloading demos from different places and the same thing happens each time. it get's downloaded and when i click it nothing pops up or anything. or from another download it will start to install but then it will stop for whatever reason. i know my desktop can run these demos, it's brand new, has a good graphics card a quad processor and everything. do i need to download something else for the demos to work or adjust anything on my computer? i just got it yesterday