the only file extension i can think of that wouldn't have an open with option would be a .exe, because that would be an executable xD
situation i could come up with: probably a noob to computers, downloaded a questionable executable that was actually named loader.swf.exe, and has the windows folder option 'hide known file extensions' active. since this is actually an executable, no open with option, but it appears to be a .swf file because the real file extention of .exe is hidden
if this is the situation, you probably have spyware now installed on your computer