So you did open it with Flash... is there even a .exe file with Flash?
I don't know. It either was part of what was installed with the flash player itself or is a component of Flash CS4. I believe the term adobe uses to refer to them is a "projector"; you can get the latest version on
this page, or just download the current version
here.
One has to bear in mind that "Adobe Flash" is a commercial product you must pay for; Adobe Flash Player is the product you get for free that allows you to view the content created in Flash; Generally, the Flash Player comes as a plugin or add-on for the browser.
Making things even more confusing is Shockwave; Shockwave came first and w as basically just a way to play sounds and animation on a page, and the they were created with Macromedia Director (another commercial product) so Macromedia Shockwave was the plugin for netscape and IE that allowed you to view those sounds and animation; when Flash was first introduced it was called "Shockwave flash" for a few versions before being simply called "flash" but the default publishing format, SWF, still stands for "Shockwave Flash".
When you save a SWF file locally, you can open it in a browser just fine; as long as the browser has the flash plugin/addon installed. Or, you can just use the standalone projector.