The plugin does not add new functionality to your WordPress install. It just adds the FancyBox script in a way that works out of the box for most people (hence the 'easy' part) but if you want more than that, you'll have to look further.
Uploading of SWF and other files can simply be done via the normal WordPress add media routine just like images. As long as your setup allows the file type to be uploaded.
The plugins settings can be found on your Settings > Media admin page.
If you want to show a SWF inside FancyBox you will have to:
1. activate the SWF feature on Settings > Media and after saving make sure Auto-detect is checked in that section;
2. create a link in your post content to an SWF file (does not matter where it is hosted)
Or read more on http://wordpress.org/extend/plugins/easy-fancybox/faq/