Here's what you can do. First, create a Projector file with your swf. A Projector just bundles your .swf with the Flash Player in the form of a native application (.app or .exe, depending on your platform).
- Open your Main.swf with the Flash Player on your system. Right click your swf, open with, Flash Player.
- In the Flash Player File menu, choose Create Projector, and choose a name for your your Projector.
Then you can create your autorun CD. If you are just working with Windows, you can do that via the autorun.inf file. Here's an article covering how to do it for both Macs and PCs:
Note that Flash Authoring can create these projectors for you from your .swfs as well. Under the publish settings you can pick "Mac Projector" and "Windows Projector".
Links to the web should work in a "projector" -- since it's running natively it is not subject to the normal Flash Player's security sandbox.
I've attached a simple test application that can do this. If you open this in Catalyst, publish it, then follow Bear's steps above (using either the run-local or deploy-to-web copy of the .swf), you should get a native application (.exe or .app package). If you then run the native application and click the button, it will open cnn.com in your browser.
(Be sure you do launch the native application, though -- if you just keep running the .swf that you launched in Bear's steps, that will still be subject to the local/web security restrictions).