Importing complete sub-SWFs that expect asset files in a certain place isn't officially supported in Flash Catalyst at present. However, there is a somewhat tricky unofficial workaround you can use that should work for your case. Here's an example of that process: http://flashcats.net/2010/05/29/using-an-xml-driven-swf-in-catalyst/
In your case the main SWF you'll want to import into Catalyst is the gallery.swf file in your screenshot, and the supporting files are probably the images folder and the group.xml, localText.xml, and style.xml files. When in doubt, you can always copy over all the content from the folder containing the SWF and then pare it back experimentally once you know you've got it working.
Hope that helps,
Thanks for responding! Tried your suggestions but with no success. Any other suggestions?
This isn't something that's supposed to work in this version of Flash Catalyst, so there may not be much we can do.
But if you attach a screenshot of how you have the files/folders layed out in your Catalyst project that may help us to give more suggestions.