First of all, if you haven't already, download
this program.
Open that program and select the demo you need as an AVI. Select the 'extract to bmp' function, and play the demo. This will extract the demo frames as pictures in soldat/demos/extracted. WARNING: Only attempt this if you have a fairly good CPU else it will slow it down horrendously.
Once you have done that you can download a program (search Google) to compile multiple pictures into an AVI file.
Alternatively, you can just record your Soldat games with FRAPS which automatically makes AVIs.