Hey fellas, i was looking through the old threads and found this:
http://community.clickteam.com/threads/67517-Demo-Recording?highlight=Demo+recording%3F

You can look to the end of the thread (i just posted there) and thought i'd put this up here for anyone having similar problems. Basically, i made a cloned frame for the test. The problem i was having was that after the recording was over with, was that i couldn't open the demo file at "start of frame" like the file didn't exist. The way around this is to just click on "use expression" and type in the name of the demo file that you want your key presses to link up with. I haven't tested this with putting the file in a different directory than the mfa file (i would assume it would crash) and also i haven't tried this with multiple demo frames yet but i would think that if anyone was going for a tutorial style demo, showing you how to beat a certain boss/stage/showing you different moves etc, you would beat your level like normal and once the frame ended you would tell it to jump to whichever frame you wanted, or if you're like me and want that old school "waiting at the title screen" demo that plays for like 30 seconds then in your cloned frame just put an event in that says "timer equals 30 secs" or whichever you prefer and do the same jump to method. I hope this helps!