If you have downloaded the stable release of Phoenix from the homepage the demos should work out of the box in Lazarus.

What needs to be done is mainly to set up the search paths in the project->compiler options.

Howerver, if you plan to stick on windows i'd suggest trying out the free version of Turbo Delphi for win 32. It has alot better refactoring support, and design time features then lazarus (sadly). And it is easier to setup the projects.