The XML file is the file that will hold all the information about the links in the menu and should be edited and then uploaded by your ftp manager or cpanel to your server where required..
the swf file can not be added using the flash tool in bluevoda it has to be added using the HTML tool and the right html coding something along these lines.
HTML Code:
<object classid="clsid:d27cdb6e-ae6d-11cf-96b8-444553540000"
codebase="http://fpdownload.macromedia.com/pub/shockwave/cabs/flash/swflash.cab#version=8,0,0,0"
width="375" height="368" id="CC8519893" align="middle">
<param name="movie" value="menu.swf"/>
<param name="quality" value="high" />
<param name="scale" value="noscale" />
<param name="salign" value="lt" />
<param name="bgcolor" value="#ffffff" />
<embed src="menu.swf" quality="high" bgcolor="#ffffff" width="375" height="368"
name="CoffeeCup" scale="noscale" salign="lt" align="middle" type="application/x-shockwave-flash"
pluginspage="http://www.macromedia.com/go/getflashplayer" /></object>
This is only an example your code should be in your documentation or a html page.
Paste the code you are given into a html box then resize and position the box as required. then publish your page.