You'd right click on an Exe file and use 'open with'. Although I'm not sure what you'd select.
I assume the problem goes away if you uninstall SWF player?
If you uninstall and reinstall it, look for an option where you tell it what file extensions to use.
This should be under the Alt. OS forum because its not iMac specific. If a mod notices it, they will move it for you, or you can ask for it to me moved.