Did you use EPiServer Manager to install the demo package?
If yes, did it not launch setup.aspx to import the data for page types and pages that are inside the package?
If change extension on the pkg filer to zip you can open the public templates and demo templates package. Inside you will find /util/setup/*.episerverdata the you can manually import in admin mode.
A Page Type is created from a Page Template. A page template is an ASP.Net aspx file. Basically this means that Page Type is a conceptual or abstract notion. Basically it's what the CMS calls a page without any content. You add the content to a Page Type to create a Web Page.
Check the video "How to Set Up the Development Environment" for a walkthrough and an explanation of how it works.