well a flash file could be many things. a flash file(.flv) could be a game, or a movie...Youtube converts their videos to flash BTW. You make it with Adobe Flash CS3... At least thats the most popular program to make them with. You can find that software at Adobe.com under trial downloads.... I suggest trying it before you buy it.. I think it's 600 USD. And for the games, you also have to know actionscript to be able to make the games.
I hope I help you out somewhat... I'm more of a Java programmer... Sorry. Try putting this into the programming help thread at the bottom of the community. They might be able to give you more detail.
Flash file can also be .fla or .swf if thats what you mean. An .fla is what Adobe Flash uses to save projects that you are working on. An .swf is the final product, it's how your flash project is going to be online and such. It is also what online sites need to play the game. If you want to get into Adobe, it's better like Snowman said to get 30 day trial and see how you do. I don't like that 30 day trial myself, took me months to really get into Flash and learn that I love it. I do AS2(actionscript 2.0, coding language for flash), newest is AS3 but I don't know it and don't care to! If you need more info just email me or PM me!