If you click on a link in an email, then it will download a file -- a webpage, a pdf, a movie, whatever the URL points to. What did you think would happen?
Was there any text in the email, like "here's a video of my animated women"?
It's worth pointing out that Flash is know to have MANY vulnerabilities, so the flash movie could potentially contain some exploit that might be harmful to you computer (though it would need authorisation to do serious damage and still would not spread like a virus).