Can I capture an alien in the XCOM: Enemy Unknown demo?
I don't believe there are any stun-capable weapons/soldiers in the demo - which is weird since they make a big deal out of asking you to capture one alive. In the full game soldiers have specific gear that allows them to stun and capture aliens (although from what I read, it ain't easy!)
Actually, there is a pretty awesome demo editor available you can use to mod the Arc Thrower into the demo (it replaces some other item your soldiers would usually have, grenades I think).
Be warned, this is a fan made thing so it might break your demo.