I dont know where excactly zero-k lobby installs to ("my games" ?) but the replays are .sdf files and should be in a demos\ folder.
Like demos\blablabla.sdf
You can doubleclick them or drag & drop them onto spring.exe (be sure to use correct version spring.exe)
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I thought zero-K uses Spring 94.1 now? Or is it develop test version?
Because in the download links it says
http://zero-k.info/replays/20130424_231549_FinnsRevengeRV4_94.1.1-213-g090574f%20develop.sdf94.1.1-213-g090574f%20develop is engine version...but with 91 that was shorter without the commit number thing...