Everybody here is on target.
I, too, would call it a demonstration which is synonymous with protest and a picket could be either. Demonstrators can be called protestors and they can also be picketers.
Just to show how they all fit together:
Ex. The animal rights group held a demonstration in downtown Chicago yesterday as protesters marched against the of killing animals for their furs. Some of the demonstrators formed picket lines and blocked streets and bridges leading to downtown. The protest lasted for most of the day and a dozen of the picketers were arrested after scuffling with "highly annoyed motorists caught in the traffic jam for hours".