I believe that rosetta_demos (especially any recent Rosetta demos) are only available with the Rosetta 3 releases (particularly the most recent 3.3 release). I presume from your choice of forum, you are still using a Rosetta++/Rosetta 2 release.
At this point, the Rosetta++/Rosetta 2 releases are only recommended for replicating old results, or for those few protocols which don’t yet have a Rosetta 3 version. For all new work, use of Rosetta 3 is highly recommended. Try downloading the 3.3 release, and then you should have access to the rosetta_demos directory, as well as the RosettaCON2011 Tutorials Collection (which may be a separate download).