Yeah, .dm_69 is the Quake 3 engine demo format it basically contains what the server would tell your client about the game (AFAIK). It's not a multimedia codec, although I would have assumed from the title that they would be movies.
You need to put it in the right place, open trem, press ~ (or `) to bring up the console and type '/demo lucyspam.dm_69' or whichever demo file you want to view.
It will then load the map and play the demo, I'm not sure what actually happens after this, I've never tried it myself.
