They also use these demos to force you to update to the most recent, most restrictive firmware. They won't run otherwise.
Edit: Yeah, that's the Christmas level. It needs 2.8x firmware. The thing about 2.8x and up is that it's keyed to your own PSP uniquely, so it can't be distributed with DevHook and simply copied to your memory stick with the software (for emulation under a 1.5 system). You need to jump through some hoops to get the latest version of DevHook working (3.xx firmware), including going through a firmware-dumping process, and some writing to the internal flash. So far, I'm waiting for more history on it before I risk bricking my PSP.
This is
a better place to get PSP demos, including Loco Roco Holiday.