"/record" will record a .dm_84 file, which you can view in ET (through the mod you recorded it in, and its main menuâ€¦ or by entering "/demo demoname" in the console.
If you're on an ETPub server, the recorded demo will be in "Wolfenstein ET\etpub\demos". On a Jaymod server, it would be in "jaymod\demos" instead, and etc.
Just to add onto what Brisk said, if your using the 2.55 version of ET on your computer, the demos will be a .dm_82 file. In 2.06b it's .dm_84.
Either way, whatever version your using, the demos will be in the demo folder of the mod your playing.