> so why is it when i download that file i still don't
> get the contents of that website but instead just a
> mere loading image?
When a flash loads in your browser, it asks for the sound file (for example)
and the browser gets it from its host.

When you run the flash from your machine it asks for the same sound file and
the browser tries to get it from your machine.

That file doesn't exist on your machine, so you get nothing.