Just a few days back i was wanting to do the same (a vista beta 2 flash walkthrough)
I downloaded a program called SWF Cache Viewer ,It installs a plugin within your I.E browser .
The link embedded above would show you how exactly to use the software.
If there is any .swf link on a webpage. Rightclick it and choose - save target as and save it to any desired folder.
For any .swf file whose link is not shown in the webpage, go to View > Source > search for the .swf file and copy it and download it with any download manager.
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