To add a Demo content you need to install WordPress importer plugin.
Follow to Tools > Import
And choose WordPress:
Next step is upload the .xml file with the demo content (you'll find it on DEMO CONTENT folder of the main archive).
Don't close this browser tab until the installation is finished. Be patient - it may take few minutes.
The WordPress importer plugin, which adds a DEMO content, is not supposed to add sidebars and page settings - it adds a content only - i.e., posts, pages, menus, images.