Looks like I wasted 560MB of bandwidth and 7h of time yesterday. It seems that the Battlefield 2 demo doesn't want to play on my computer.
I have a 128MB Radeon 9200 video card, 512MB RAM and a 2.2GHz P4 processor. There is no reason why this shouldn't work.

I get through all the intro screens, the BattleField 2 screen comes up, fades away, and then i get a black screen with a cursor. After about 1 min, I am taken back to my desktop (at a resolution of 640x480)