I don't know much about Macs except that I believe that an .exe is the PC equivalent of a Mac .app as you thought.
What I imagine is that the start file is the main file that you use and it calls in the various .swf files that seem to form a site with various sections.
The exe/app files could be considered player files in so much that each is a standalone file capable of playing on a computer without the need for the Flash player. So if you created a site you could have the start file be the vehicle for displaying it to whomever you sent the collection of files.
So, for you rto do the same, you would take whatever fla file you use as the main file for your site and in the Publish Settings set it to publish a Win Projector and a Mac Projector file of it.