How can you see that it depends on other .swf files? How did you do that
I have SoThink SWFQuicker with which I can open most all .swf files and see what they are made of essentially, or edit too. With it I viewed the actionscript (I believe it was frame 2's actions) that intro_screens.swf uses and it contains an array of those five .swf file names which it then loads in to it's self.
How can I make it work then?
Please note, I do not recommend using other peoples content on your site. As I do not know what the deal is with this Naruto game as far as origins (don't know if it's widely 'pirated' including by the site it does work on, or what) or your relation to the site it does work on, I would say you should be sure and obtain permission to use it or do whatever you need to in order to be "legal" about using it. That said, here's how to make it work:
The site it does work on, it's url, replace 'Naruto.htm' (in browser address bar) with the name I showed in my previous post of one of the other five file names and that will open that file in the browser. Recommend using Firefox or pretty much any browser other than Internet Explorer (IE won't let you do File->'save as' on .swf url's), and then save the file to your local machine. Do so five times for all those files, then upload them to your site, noting that the one named "bg_01.swf" must be actually in a folder named "bg", which is why it's name I showed in previous post is "bg/bg_01.swf" as the intro_screens.swf file will look for "bg_01.swf" in the "bg" folder relative to intro_screens.swf's location.
Have a good one!