I would use the MovieClipLoader class to load your external
into a holder, and tell it to stop();, then once your swf gets to
the final frame, instruct it to play();. Like so:
load movie2.swf on the first frame on movie1.swf, tell
movie2.swf to stop once its loaded. final frame of movie1.swf, tell
movie2.swf to play. first frame of movie2.swf load movie3.swf, tell
it to stop once loaded. final frame of movie2.swf, tell movie3.swf
to play.. and so on...