If the demo fails to start on your machine, you have a Creative Labs audio card, and the last thing log.txt talks about is loading the audio device, you need to update your OpenAL installation.
Get the latest OpenAL installer from:
http://www.openal.org/downloads.html
Once installed, delete wrap_oal.dll and openal32.dll from Scallywag's install dir.
This problem only effects some users of Creative Labs cards.