I have no interest in writing to Excel, my only requirement is reading. I have no reason to try the write demo unless instructed to do so.
Well, if the read demo aborts with a file not found error the problem is obvious, isn't it? Even though you don't have any interest in writing to Excel, is it too much to ask to compile 2 programs and run them one after the other?
Otherwise, you could change the demo to catch the exception and show an error message to the user with the hint you're describing. I'd be happy to merge patches or if need be the entire .lpr file as long as it's based on trunk.
I'm less than ecstatic about
1. adding a readme/hint in source code. People generally tend not to read (and complain on forums that things are unclear

)
2. just adding precooked xls/ods files that will have to be kept in sync with any changes, take up useless space anyway - we have the test cases for checking functionality against file formats already.