Found a lovely piece of software (Windows-only though) that allows you to double-click on the demo file in Explorer and launches UrT to play it. Real heaven-sent for those who watch a lot of demos, as the UrT's built-in demo browser stinks on ice. (I can't see half of the contents of my demo folder at all.)
As far as I know, that's the only way to start demos externally; it seems there's not even a command line option.
Ah, yes, link: http://www.1upclan.info/projects.php (last one on the page).