no. right click on a swf and click open with. select the flash player. if it doesn't open, you have a faulty fp installation. reinstall.
If anything, it is likely an IE issue. I don't know of a specific setting, but you can look thru the Tools -> Internet Options -> Advanced section to see if something in there is specifically disallowing such content.
Is this happening all the time or only when you are playinmg files locally (offline)? IE has security features that will usually disallow activeX content when local files are being used... usually a prompt will appear across the top to indicate this and give you the option to allow it to display.