grabbing a video from another website and embedding it in my blog

Anyone know how I can ‘grab’ a Shockwave Flash created video (a .swf file) from another website source (not Youtube or another video sharing site) and make it viewable from my own blog page? I don’t want visitors to leave my site to view it and at present all I can do is show a weblink to the source site. There are no obvious options in the drop down under the media tab. Could anyone point a newcomer in the right direction please? Do I need a plug-in? If so, which one?