For the most part, Yes.
1) view the source code of the page and find the name of the .swf you want.
2) Make a simple html page with a link to the complete url of the movie.
3) Load your page into a browser.
<a href="http://www.somesite.com/movie.swf">The file</a>
4) Right click on the "The file" link and choose "Save Target As" or "Save Link As" option.
The downside to this is that the movie you want may only be called from another movie so it's name may not be available.
Hope this helps,