You may have to delete the directory after uninstalling because if you installed the full version over the demo version then uninstalling again, you'll use the full version's uninstaller and files belonging to the demo version may still be stuck.
But if you can't get the normal VD to work, I recommend the new VD, which can be downloaded from here: http://www.purebasic.fr/english/viewtopic.php?t=30885
The reason you have problems is probably that you're on Vista (or a locked-down XP) and don't have write access to the PureBasic folder when you save the source files. Then you can't find them, because they were never written.
When you use Generate Source, save both files in my documents where you know you have write access. Then don't use the PureBasic editor menu item, instead open the files manually from the editor.
If that doesn't work, I don't know what's wrong. The new VD is better anyways, since it works directly on source files.