You mean you wanna compile the demo or simply run it?
To run it, well ahem you download the zip file linked by "Binaries", unzip it somewhere and then double click the scenegraph.exe
If everything goes right, you should be able to see the demo running with full effect. However it might also appear for a second and then disappear leaving behind a log.txt file; if that ever happens, I want you to post the content of that file right here please.
Now to compile this demo is another story:
Since my engine is loaded with features, you might wanna download a couple of extra things before you can get it to compile with .Net.
You most definitely need to download the MS DX9.0 summer release SDK and install it on your machine. (I need bits of it to enable video playing).
Now download the SXML engine and put it somewhere, then create a new folder and place this demo's specific files in it and hit compile.
Here's a snapshot of my directories