I'm not sure I understand your problem. Installing demos in Steam works exactly like installing any other game in Steam. Click the install button, and then launch the demo. What's causing you trouble?
The part about the SD card I don't understand either. Are you trying to access your Windows installation from your Steam Deck? What are you "testing"? Whether you like the game? Or whether it works on Linux?
When i try to install an error message appears because there is no version of the game for my SO.
https://i.imgur.com/0bVY5la.png
The part about the SD card, its becouse i can start in windows in the desktop and install from there the demo, but i don't have this option from the steamdeck