I have Safari v.4.0.3 and Flash Player plugin v.10,0,12,36 (Debug player) installed in Mac OS 10.5.8 and opening
.swf files in the browser works just fine for me. I don't know if it has anything to do with the fact that I have the debug version of Flash Player, but I suspect it'll work with the standard version as well, like it always has before Safari 4. So try updating your Flash Player and see if it'll work after that.
If you'd like to open
.swf files outside of your browser, you can install Adobe's standalone ("projector") Flash Player.
p.s. You can check the version of your Flash Player plugin by going to http://playerversion.com