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I don't really get what you're asking here. You want to know if you can the demo file on the internet, burn it to a disk, and have the console copy over the file and play it?

If that is the case, no.

If you want to play the Killzone 2 demo you'll have to,
A- Pre-order it from Gamestop
B- Game share with somebody who has a pre-order code from Gamestop and has already used it to download the demo (sign into their account on your PS3 and redownload the demo from their download history)
C- Wait till around February 27th when the demo will be made available for everybody.

Does that work for the 360? Though even if it does, I'd have doubts about it being allowed by Microsoft.