SWF/Flash files may be embedded into an executable a number of ways, using:

Adobe Flash Platform
Adobe Air
MDM Zinc
Northcode SWF Studio

Adobe Flash and Air refer to the published executable as projectors, and both can be packaged using the Adobe Flash Platform or Air.

Zinc and SWF Studio are both 3rd party products which offer similar functionality. In my opinion, Zinc is the greater of the two products, as it offers support for Windows, Mac and Linux! It also has an API/framework for utilizing WinForms functionality such as launching modal form windows using actionscript. The API is packaged into the executable, so a clean standalone file is still all that is needed for deployment.

SWF Studio is more of an “out of the box” product, which functions as is for what it is needed for. Some may favor it due to its simplicity and ease of user interface, which on the surface seems to have a bit more features.

Ultimately, I went with Adobe Air in my particular scenario, which was definitely the most complex of the solutions, but provided the best compatibility by far (obviously) and the best one to get to work with SWF files that wrapped other SWF files multiple layers deep.

Brief addendum:
Initially I developed a custom .Net solution which loaded the SWF file inside of a form, (webbrowser object in winforms or frame in wcf) but the dependency on .Net and furthermore, Mono, in Mac/Linux systems posed as a problem since the delivery of the player needed to fit on CD/DVD alongside the videos, with very little space to spare for adding in additonal frameworks.

References
Adobe Flash Platform, http://www.adobe.com/flashplatform/
Adobe Air, http://www.adobe.com/products/air/
MDM Zinc, http://www.multidmedia.com/software/zinc/
Northcode SWF Studio, http://www.northcode.com/
Mono-Project, http://www.mono-project.com/Main_Page