What do you mean by default? When you add a new file, it defaults to putting you in the same directory as the project file (and that you can't change), but you can add files from anywhere to your project.

The project file saves the relative path to all the files you've added to it, so if you need to make this change to an existing project, you can open up the file as XML and change the the path. You may need to remove and re-add the project to the solution as well, since that will now be in the "OtherDemo" directory. It should work though.

By default it's creating the "Demo" folder because you named your project "Demo", and there's no way around that to my knowledge. If I want it in a different folder, I just create the project, remove it from the solution, move it to its new location, and then re-add it to the solution. It's not elegant, but I really don't spend too much time creating projects so it doesn't bother me.