Demos created by DemoGo have to be hosted on a web server. When publishing a project, you will be prompted for FTP details for your server, and a location for uploading to (for example, a subdirectory in your web space). DemoGo will create and then upload your demo using the supplied credentials.
If you are unsure of what details you should provide for uploading, you should be able to obtain them from your website/hosting administrator.