Via GPO if you look at either:
Computer Configuration --> Administrative Templates --> Internet Explorer --> Security Page --> Local Machine Zone
or
User Configuration --> Administrative Templates --> Internet Explorer --> Security Page --> Local Machine Zone.
The setting Allow Active Scripting if you set that to Enabled then set Allow Active Scripting to Disabled
It will prevent SWF files from running in the My Computer Zone (Meaning if someone tries to run a file from the hard drive, or a portable drive it will come up as a white screen in the browser, but they are still able to view SWF content from other websites.
I am only in the preliminaries on testing this, but so far it is working.
