Proton driven plasma wakefield acceleration has recently been proposed as a means of generating high energy electron beams. In this paper, different options for a demonstration experiment with the CERN PS beam are considered. We review a possible magnetic compression of the PS bunches and resulting electric fields in the plasma. Results are then presented for self-modulation of the proton bunch for different plasma densities and lengths. It is found that the latter option offers interesting possibilities for a first experiment.