It's in your q3ut4 folder.

*snip*
but for some reason I can´t find any demo on the q3ut4\demos folder... wth?

It was that in a roundabout way. Even when running UrT as an administrator, it was saving screenshots and demos in the Virtual Storage folders.
It's a problem that many people have, I've helped 2 other friends with it so far.
In case anyone sees this thread looking for the fix to it, it's:
1) Right-click on the UrbanTerror folder, which is usually C:\Program Files\UrbanTerror\, although I think the problem may just be a 64-bit one (I've only seen it on 64-bit systems personally) in which case it would be C:\Program Files (x86)\UrbanTerror\
2) Go to the Security tab
3) Give the Users group Write permissions for that folder.

Yes I know it's silly to have to give something extra permissions even when you run it as administrator but it's some kind of bug and this fixes it in the meantime.