Looking around the internet, other people seem to have had similar problems, although I can't find a solution. The issue appears to be with the code that links to the next file. Just in case it helps anyone, this is the code that I have on the navigation buttons (let's say this is from movie_1 linking to movie_2).
Works like a dream when using the .swf files (movie_1 is replaced on screen by movie-2), but won't link on a PC when using the .exe files. I'm sure the answer is in this small piece of code somewhere!