Try this steps
1.Copy te swf file in bin folder.
2.Select "Add/Remove Items".
3.Select "COM Components" Select "Shockwave Flash Object". Click OK.
4.You can see the Shockwave Flash Object in the tool bar.
Code:-
AxShockwaveFlash1.Movie = Application.StartupPath & "\flashfile.swf"
AxShockwaveFlash1.Play()
Read more: http://wiki.answers.com/Q/How_add_swf_file_in_vb.net_forms_which_is_save_in_resources#ixzz1toABaXKF