Download the desired .zip file for your platform. Extract all the files from the .zip file, making sure all the files are in the same folder. The easiest way to do this on Windows is to right click the "Baldi's Basics Demo Windows.zip" file, select "Extract All..." and then click the "Extract" button on the window the pops up. This will put all the files in a new folder of the same name as the .zip file. Activate the game from this new folder, and feel free to move the folder wherever you want, so long as you don't move any files out of the folder.
Linux users, you may have to access the game's permissions and check "Allow executing file as program" to launch the game. Also, due to a recent Unity update, 32-Bit versions of Linux are no longer supported. You will need a 64-Bit version of Linux to play the demo.