Thank you for your question. It appears that the GridMainDemo.exe is corrupted. To repair it, open the Start->All Programs->Developer Express v2010 vol 2->Components->Demos->WinFirms->XtraGrid->C#->GridMainDemo project, and build it. Then, copy the GridMainDemo.exe file from the %PUBLIC%\Documents\DevExpress 2010.2 Demos\Components\WinForms\XtraGrid\CS\GridMainDemo\bin\Debug folder to the %PUBLIC%\Documents\DevExpress 2010.2 Demos\Components\WinForms\XtraGrid\Bin folder.
After this, the demo should start correctly. If this problem reproduced with other demos, please try to repair the installation. Simply run the Start->All Programs->Developer Express v2010 vol 2->Setup application, and choose the Repair action.
Please let me know your results.