Be sure in the HW program, 'Extras', 'Options' section that in the 'Directories' section at the bottom you have the History one set correctly. The graph templates look in here for data and it sounds like this may your problem as the demodata.dat file is one directory up from where the history.dat files should be. Something like (example), C:\Documents and Settings\Heavyweather(demodata.dat in here)\History (history.dat's here). Also be sure in this options window that the 'Recording History File' entry up top matches this Histrory File Directory entry with the History.dat file name added on the end (ex. ....C:\Documents and Settings\Heavyweather\History\History.dat).
Hope this does it for you.
edit: Welcome to WxForum btw!
Dan