If the links do not work on your local(!) hard disk, this may be due to the Flash security settings. Connections from local Flash animations to the internet must be approved by you explicitly. To do so, open the Flash Settings Manager:
http://www.macromedia.com/support/documentation/en/flashplayer/help/settings_manager04a.html
Change to panel "Global Security Settings" (third panel from left) and enter the directory on your local hard disk where the animation is stored.