Just make an html file with this link:
http://www.theromp.net/games/cooties/6_1.swf

ex:
<html>
<body>
hello

</body>
</html>
and just replace 6_1.swf with the one you want. to download that file you can just right click on the link above and do save target as. Hope this helps. I found the location by viewing the source of the web page. That's what you need to do if that is not the file you wanted.

this is from the web page of the first swf game of the page you provided:
<td width="100%" height="298"> <p align="center">
<span lang="en-us"> <font face="Bradley Hand ITC" size="4" color="#FFFFFF"> <EMBED SRC="http://www.theromp.net/games/cooties/6_1.swf" width="424" height="327">
<noembed>You need the plug in, go to the macromedia
website and get it</noembed></font></span></td>


See where it says embed source. That's what you are looking for and just make a link to that location. It was about 4/5 of the way down in the source. Good luck.