Most people don't know that there is an easy way to create an .exe from your flash .swf files, especially if you are not using the Flash IDE but the flex compiler instead: Simply go to the directory runtimes\player\10\win, start FlashPlayer.exe, open your .swf with it and choose 'File -> Create Projector'. That's it.
Unfortunately, this lacks certain options. Your .exe still will look like the flash projector, with the menu bar and doesn't have the possibility to start in fullscreen and similar. There are various products available on the web which work around this, and create nicer .exe files from your flash file. I just tried out FlashPacker
wich does exactly that and really liked it. It also has quite a reasonable price (39 euro).
[Nope, this is not an advertisement ;)]