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http://kb.adobe.com/selfservice/viewContent.do?externalId=tn_4150&sliceId=2 [kb.adobe.com]
Does it have the gray line around it, and when you click it does it start working/playing?
This is an old issue having to do with a law suit between MM and MS. Google for SWF Object and use this library to incorporate Flash.
Not only does it make the gray line go away in IE, it also gets rid of the whole <object> <embed> issue (<embed> is a deprecated element that won't validate anyway.) With SWF Object, it will automagically display alternate content for SE's and non-Javascript browsers.