Win XP:
from My computer>c:\documents andf settings\[user that is logged in.. ie
ADMIN]\local settings\Temporary internet files\
In there is where all temp visited sites are. Look for the file.swf and copy
it out to a desktop.
What wizrulz said will work for IE and OE. So if the mail is in some other email client or is in a web-based mail account, open it in IE or get it in OE.
In firefox, just set the ".swf" filetype setting to save on computer. Then it'll start downloading the flash file automatically as soon as the page will load!