The Call of Duty(R) 2 Demo autosaves at the beginning of each single player mission as well as creating checkpoints within the mission as you progress.

The red Damage Direction arrows on your screen are the first indication that you're taking damage. Further signs that your character is close to death include heavy breathing, heart palpitations, and blurred vision. The Call Of Duty(R) 2 Demo will tell you when this occurs the first five times only. Then it's up to you to find cover as soon as possible if these occur. Doing so will allow your health to return to normal after a brief rest provided you're not taking any more damage.