If you try to access resources from domains other than the domain a Shockwave movie runs on, you get an ugly and intimidating dialog box. If there are no other options than to use the files off the external domain (eg if you are using a web service, like I am for the SPi-V Flickr interface), you can proxy the contents using php and curl (if your webserver is configured to allow this).
Here's what I use to get and serve an image from a Flickr server and maskerade it as a local file:
function getImage($imageurl) {
// create a new curl resource
$curlinst = curl_init();
// set URL and other appropriate options
curl_setopt($curlinst, CURLOPT_URL, $imageurl);
curl_setopt($curlinst, CURLOPT_FOLLOWLOCATION, true);
curl_setopt($curlinst, CURLOPT_HEADER, true);
curl_setopt($curlinst, CURLOPT_NOBODY, true);
curl_setopt($curlinst, CURLOPT_RETURNTRANSFER, true);