There is no need to "open" the downloaded SWF file directly. For viewing the Flash banner, you have to embed the SWF file into a web page (just copy/paste the HTML code from your order download page) and open that page in your web browser (which has a special plug-in for displaying Flash content).
If you wish to view an SWF file on your computer without web browser, you might need to install a stand-alone Flash player like this or this.