Some Flash movies are multiple swf's that can be loaded in layers on top of the original at run time. So if you just download the source swf found in the html code you won't be getting the whole "cartoon" or "website" or whatever swf your trying to download. THere are ways to find out what the names and relative locations of these files are.... but do you really want to hack this guys flash movie??? Its really considered bad ettiquette to do that to flash websites in the webdesign business, though people do it anyway
......
ALot of times the creator does not want the file to be downloaded and possibly distributed, or even forced open (some shareware programs will allow you to extract a locked swf file and import it back into Flash for editing). I know i lock and hide some of my swf files as best i can on the server.
Had they wanted to be distributed they would have saved it as an executable for both mac and windows and made it available to download.
EDIT: <stepping off my soap box />