The Xen 3.0.3 Demo CD is an ISO image. Download it to a file, then burn it onto a CD. Use this CD to re-boot your machine. The CD will not install Xen but will boot a Xen host (Dom0) from the CD and allow you to start additional Xen guests, which are provided on the CD.
Since the Demo runs from the CD, Xen and the guests will run much slower than if they were installed on the local hard drive.