Hi Luke,
Not sure what demo board you have but, with reference to connecting it to CW:
If it has a built in BDM Adapter (ie has a USB socket on board) connect a USB cable and use the P&E Multilink/Cyclone Pro connection from within CW.
If it only has a 6 pin BDM header then you need a USB Multilink device to connect to the header then follow above connection.
In order to use the Serial Monitor connection you need to connect to the demo board via RS-232 cable and you need the monitor code already programmed into the demoboard. If it is not pre-programmed you need to use one of the methods outlined above to load it before attempting to use it.
Hope that helps!