A demon is the result of a fallen Angel. At the start of time, 1/3 of the Heavens rebelled against Arch Angel Michael. This front was led by the Angel of Light - Lucifer and his armies were governed by Be'elzebuth.
The war wasnt a sucess for the third of angels rebelling and they were cast down to a region known as Hell. Once in Hell, the Fallen Angels became known as Demons.
Demons have the power to control human minds, an ironic power all considering their war was started due to the fact they were jealous God loved Humans more than his first creation - Angels.
Lucifer was an Angel, however turned into a Demon when sent to Hell