You can modify the swf file by using a hex editor if if has 
not been compressed.
Just open it and look for web addresses. If you can find 
them, look for all the external links with swf2html.exe 
(site macromedia) and add them in the Web addresses to 
download, then modify the swf file by modifying the 
absolute link into relative links if you have enough room, 
or modify the absolute link into a local html file that 
will redirect to the external sites.

This is quite a lot of work.
You can find more about it in French: 
<http://danzcontrib.free.fr/captures.html#flash>
in English: 
<http://danzcontrib.free.fr/en/captures.html#flash>