Is it possible to play flash without flash-player installed? I heard that SWF file and flash player itself may be included into one EXE file.
Whether it is or not, you're going to run into the fact that most folks won't run an EXE that they don't trust. That's why Flash player is popular...it allows for cool content to be played in a reasonable fashion that people have come to trust. Is there a reason you want to bypass that trust?
Five seconds with google pulls this site up for a paid solution: http://www.swfkit.com/ I find this as well: http://www.bytescout.com/flashextractor_how_to_convert_swf_to_exe.html Damn if I know though. I wouldn;'t be playing *.exe either to be honest on my computer.
If you do have adobe flash player you can create exe from swf yourself. Under file menu there is "create projector" or something like this, cause I have russian flash player, so I have this text in russian.
If you just want to play the file without flash player there are many media players such as VLC that will play SWF files, with much better performance than flash too. I believe there is also a codec for windows media player that will do it.