Correct, the .SWF file needs to be uploaded to your server.
Code:
<object width="X" height="Y" classid="clsid:d27cdb6e-ae6d-11cf-96b8-444553540000" codebase="http://fpdownload.macromedia.com/pub/shockwave/cabs/flash/swflash.cab#version=8,0,0,0">
<param name="movie" value="/path/to/flashfile.swf" />
<embed src="/path/to/flashfile.swf" width="X" height="Y" type="application/x-shockwave-flash" pluginspage="http://www.macromedia.com/go/getflashplayer" />
</object>