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So I'm playing against tzeentch demons for the first time. I have no idea what I'm up against and made a list of models I own. So please give me some advice where it's needed.

Lvl4 shadow sorc-tali or pres, dispell scroll 
Master-bsb ,HA, shield,cloak, (advise on what to equip this guy so he stays alive )
2x5 DR- shields,xbow,musician
2x10 dark shards- musician,shield
25 BG-Full command,razor standard
20 Executioners-full command, Swiftness 
2 RBT
1x5 warlock

First off: Although I'm a solid DE general, I've never gone up against Tzeench demons, so I'm completely in the dark as to what they're going to bring. You have been warned...

You've got to take all your dark riders and darkshards. You need them all to make bare minimum core. Fortunately, that's a pretty decent setup. Not quite ideal; darkshards really don't need shields until the unit gets big enough to be a backup combat block (at 20+ strong), but you can't cut shields and still make your core requirements, so you might as well keep the shields.

For the BSB, either Armor of 4+ ward or Dawnstone / Enchanted Shield seems pretty durable. Which one you take depends on what Tzeench can do, I suppose.

Tzeench is supposed to be pretty hot for magic, so some MR might be in order. And by my math, you'll have at least 50 points to play with once all your models hit the table.

You don't really have a lot of choices at this point. Your models can just barely make 2000 points on their own, unless you're going to promote BG and Exe champions to characters... which probably isn't worth it at 2000.

Being a daemon player I can tell you that tzeentch sucks. Once you're in close, which you should be, that'll negate most of its magic and then they're lambs for the slaughtering.

As a Tzeentch daemon player, I can't disagree. We're mostly gimpy things with junk combat stats, magic missile / direct damage magic (but also Searing Doom + Final Trans), and some amount of shorter ranged shooting. While elves are a better match up than others (because T3), if you can close the gap and plow into combat you should be golden. Or stuck in a gooey mess of horrors, but at that point it's just a grind that should go to the elves in the end.

You might prepare for a good amount of whining from the Tizz player in regards to your warlocks, but frankly it's pretty justified. Brolocks show just how poorly designed horrors are as a casting unit

- Salvage

"Brolocks" specifically refers to a unit of Warlocks containing a number of characters, usually a combat lord and several combat masters including the BSB, and sometimes a Sorceress, all on Dark Steeds.

It's a fast cavalry variation on a deathstar build, made all the nastier by the 4++ save on the rank & file.

And the characters adding another +1 to the casting value of the Warlocks...