what do you mean by, "...finish the whole video in windows media player"?
win media player only plays certain video file types (http://windows.microsoft.com/en-us/windows/file-types-supported-media-center#1TC=windows-7) and flash can only export certain video file types, but i don't think you can do any editing in win media player.
if you mean win movie maker (http://windows.microsoft.com/en-us/windows-live/movie-maker-file-types-faq) like your title suggests, mov files are supported by both (win movie maker and flash) though you will probably need quicktime installed on your win system to use it.
It's true you can NOT use a .swf file in a video editor ( and I DO think at least Adobe's OWN Premeire should do that) but you CAN:
- bring it into After Effects and export an mov, mp4, avi and about 10 other video formats.
- Use Flash CC to export video formats via the Adobe Media Encoder
- Download the free Swivel program and convert them yourself.
I hope this helps!