I'm not real familiar with flash, but I think you can do this in the parts where your calling your swf file just add your domain and the path to the file just like with an image or any other file like:
Hmm, maybe it just depends on the actual flash file and how it was created and such. Can you show us the code your using to display the flash banner on your site?
There's an easy way if you are you using MX 2004. If you are and making sure your image or content is a symbol, go into behaviors panel, select the plus (add behavior), select web, select go to web page, and then insert your link. make sure you select how you want clicked etc..(on click, release, etc).
ok i am kind today. do this in flash
1. create a button and place it all over your banner
2. paste this code into a button action
on (release) {
getURL("http://www.YOURSITE.com", "_blank");
}
3. set the button's alpha to 0%
4. go drink some tea
Swish isn't free, but it's a LOT cheaper than flash, and decent substitute for it, if you're not looking to do heavy action scripting. I'd really recommend it to someone just starting off.