Ok- this is the code that loads in the first swf, that I have on the first frame-

var my_Loader:Loader = new Loader();
addChild(my_Loader);

var my_url:URLRequest=new URLRequest("1-6.swf");
my_Loader.load(my_url);

I need to remove this swf after it has finished playing and replace it with another swf

How do I do this and how do I avoid creating a blank screen during this transition?

The external SWF does have a timeline and I would like that it should disappear when it reaches the last frame of its timeline. Could you give me the exact code for this event listener and instructions on where to put it?

Thanks for the code, however I am getting the following error message-

TypeError: Error #1034: Type Coercion failed: cannot convert flash.display::AVM1Movie@218db341 to flash.display.MovieClip.
    at complete_loader_fla::MainTimeline/onLoadComplete()

I managed to convert the swf's into AS3, but now I have encountered a different error message-

Scene 1, Layer 'first_half', Frame 1, Line 13    Warning: 1090: Migration issue: The onEnterFrame is not triggered automatically by Flash Player at run time in ActionScript 3.0.  You must first register this handler for the event using addEventListener ( 'enterFrame', callback_handler).

Ok- and how do I load in the second SWF?

I created a new loader instance, however the 2 swf's now play at the same time.

Here is my code-

var my_Loader:Loader = new Loader();
my_Loader.contentLoaderInfo.addEventListener(Event.COMPLETE, onLoadComplete);
my_Loader.load(new URLRequest("sc_02_shyamal.swf"));
var currentSWF:MovieClip;

function onLoadComplete(e:Event):void {
     my_Loader.contentLoaderInfo.removeEventListener(Event.COMPLETE, onLoadComplete);
     currentSWF = MovieClip(e.target.loader.content);
     currentSWF.addEventListener(Event.ENTER_FRAME, onEnterFrame);
     addChild(currentSWF);
}

function onEnterFrame(e:Event):void
{
     if (currentSWF.currentFrame == currentSWF.totalFrames) {
          currentSWF.stop();
          removeChild(currentSWF);
          currentSWF.removeEventListener(Event.ENTER_FRAME, onEnterFrame);
          // if you want to get rid of it altogether
          currentSWF = null;
          my_Loader.unloadAndStop();
     }
}

var my_Loader2:Loader = new Loader();
my_Loader2.contentLoaderInfo.addEventListener(Event.COMPLETE, onLoadComplete);
my_Loader2.load(new URLRequest("sc_08_sujoy.swf"));
var currentSWF2:MovieClip;

function onLoadComplete2(e:Event):void {
     my_Loader2.contentLoaderInfo.removeEventListener(Event.COMPLETE, onLoadComplete);
     currentSWF = MovieClip(e.target.loader.content);
     currentSWF.addEventListener(Event.ENTER_FRAME, onEnterFrame);
     addChild(currentSWF);
}

function onEnterFrame2(e:Event):void
{
     if (currentSWF2.currentFrame == currentSWF2.totalFrames) {
          currentSWF2.stop();
          removeChild(currentSWF);
          currentSWF2.removeEventListener(Event.ENTER_FRAME, onEnterFrame);
          // if you want to get rid of it altogether
          currentSWF2 = null;
          my_Loader2.unloadAndStop();
     }
}

Here is the folder that contains the project I am working on- http://dl.dropbox.com/u/8730678/loading_swf%27s.zip