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For the demos, most will be in LHA format. To run these on a real Amiga just get the lha archive onto your Amiga, unlha it to a folder and then run it. Instructions on how to run most is usually found in a text file included with the demo files. If not then it is normally quite obvious. If you find one of the files is a .exe file then just run this on the Amiga and it should launch the demo. Hope that helps.
Like Harrison writes, it should be quite straightforward running the .lha packed demos. I just wanted to mention that quite a lot of the demos also comes as .dms files. This means that they are similar to disk images like .adf. WinUAE supports .dms now, so you can use these files just as you use .adf's. For most of the demos released after 1994, you'll have to get to grips with .lha though. If you have trouble unpacking and getting them to run, you can post in the demo section of the forum, and we'll help you out. There is a troubleshooting section there for such purposes. :)