Mfdemo includes three MFS files (demo90.mfs, demo91.mfs and demo92.mfs) that you need to generate. To generate theses MFSs:
mfims mfsgen demo90.mfs nocls mfims mfsgen demo91.mfs nocls mfims mfsgen demo92.mfs nocls
Because you are generating all of the MFSs in the current folder you could have used the Windows for command to simplify this operation:
for %i in (*.mfs) do mfims mfsgen %i nocls
In addition to the .mid, .mod, .dif and .dof files, generating the MFSs produces imsconfg.dat and imsconfg.idx. These files contain system configuration data and must not be edited, moved or deleted.