Using proprietary software to demonstrate work in conference
Generally speaking it is totally fine to use or demonstrate publicly (at a conference or elsewhere) some proprietary software. Many presenters use Microsoft Windows along with Microsoft PowerPoint, and nobody ever gets into trouble.

That said, if you want to be 100% sure you need to peruse the end-user license agreement (EULA), which is the contract that stipulates under which conditions the program might be used: this is the ultimate reference. For example, the EULA can prohibit researchers and scientists from explicitly using the names of their systems in a benchmark. (Oracle is notorious for that, they sued David DeWitt following some benchmarks he had published that mentioned Oracle, see the DeWitt Clause).

Beyond the EULA, one exception I can think of is if you have signed some confidentiality contract, which can happen when the software hasn't been released yet and the developers give you access to some pre-release version of it.

Another exception is that if by "show how it is done on the software" you mean reverse engineer the software, then you might want to be careful: reverse engineering is borderline. E.g. in the United States, EULA provisions can preempt the reverse engineering rights implied by fair use, c.f. Bowers v. Baystate Technologies.

The last exception I can think of is video games: they can be seen as art, both for the graphic and the music. Just like you can't show a movie or broadcast music publicly in the general case (e.g. Twitch mutes some screencasts), video game publishers might use some similar arguments in court. That's very theoretical. 

All in all, if you're having some doubts, you might want to drop by the legal office in your University, because as any law 101 course says, the answer is always "it depends".