.swf issues

My web browsers have suddenly decided they can't open up .swf that are saved to my flash drive. Works just fine if the files are embedded on a website, and my flash players are all up to date, but it still won't open them--all it does is pop up a save option asking me if I want to save it to the hard drive or open it up with a program of my choice.

Why the hell is it doing this and how the hell do I get it to stop?