Satan and the Demons originally were angels in Heaven. God gave the angels a choice to serve Him or not. Satan, also known as Lucifer, led some of the angels in a rebellion against God. St. Michael led the loyal angels and cast Lucifer and his followers out of Heaven.
While real demons don't have horns and pointy tales and pitchforks any more than angels have real wings, they are truly evil and want nothing more than to drag you down to Hell with them. The good thing is that because you have free will the demons can't make you do anything. They can only tempt you into doing evil.
Fortunately, even if you give in, there's always the sacrament of Confession to get you back on the straight and narrow.