I don’t know what F12 does, is that auto-record or just plain ordinary record?
If it’s auto-record the demo will be in a folder within \demos named after the date it was recorded (like “2004-08-06” for today, for instance), and will have a (very) unique name consisting of a random number, the player name and possibly map name as well.
If it’s just plain ordinary record, the demo will be in \demos and be called demonnnn.dm_xx where nnnn is a number starting at 0000 and incremented by 1 for each new demo you record. (the .dm_xx bit is the protocol, but you don’t to specifiy that when playing back a demo.
You should be able to see your demos within the game, by selecting Replays from the main menu, then selecting which demo you want to view from the list it will then provide you with.