I'm stumped. Seems like it should be so simple. I created a simple index.htm file here: www.brigali.com/videos/index.htm and placed the unzipped files including player.swf, swjobject.js, etc., into the same directory as well as the .flv video file and when I hit the page, what I get is the player window in black with a bunch of icons from the player, such as the speaker and full screen icons and the spinning Loading icon.
Maybe someone else has posted this, but I couldn't think of how it might have been described.
My host is dreamhost.com.
Where did you get the player.swf file? Try downloading another copy.