The crossdomain.xml file allow acces to the files on your webserver from flash file hosted somewhere else.
Now, if you want to load data from http://s3.amazonaws.com/ you have to put a crossdomain.xml file in that root (as the error you reported: http://s3.amazonaws.com/crossdomain.xml) saying that you can download from, at least, the domain where you host your application. As you can't change the amazon root you have to do some kind of proxy to download that resource.
Is this a limitation of Flash? as the link works fine in IE and other browsers?
I don't know a lot about the crossdomain policy but I would not have thought this to be an issue to download a file from an http source.