Depending on the web browser and your version of windows (assuming windows) it'll be in different places. Look around your system for a temporary internet files directory as and example in windows 2000
C:\Documents and Settings\User Name\Local Settings\Temporary Internet Files
or in 95
C:\Windows\Temporary Internet Files
In there will be all the files you've downloaded recently. Look for the swf extension and copy it to whereever you want to keep it.
btw you'll probably have to turn on show all files in your folder options.
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