If you want to have an application on the desktop that can read from the local directories, and load files from a server, then AIR is the way to go.
Essentially, the AIR runtime gives you a bunch of new classes that you can access through Flash to do sophisticated things like local file access, and sometimes connectivity.
As for loading a file from the server without a streaming server - of course you can. You just load it the same as any other file.
The Application doesnt need to be desktop based.
Say at http://server.domain/files there is an index of mp3 files.
I want an swf file at http://server.domain/files/player.swf
To be able to play the files located in the same directory through the web browser with the possibility of being able to create a play list based on those files.
As for loading and playing the files there is no issue. Simply load them as you would load any file. You can even use a relative path if they are in the same folder as the SWF, or a sub-folder that is in the folder with the SWF.
As for looking at the server directory for what files are there, and using them - I know of no way to do this. That doesn't mean it is impossible, just that I haven't come across a method in my experience.
What I typically do is to archive the list of files in an XML file, and load the XML. I know, that adds an extra step, and an extra file, but it is the easiest method for approximating what you want to do.
Let me edit this response.