An SWF file (acronym of "Shockwave Flash" pronounced swiff) is a flash application that is playing in your browser. In the context of Replay Media Catcher, this is normally the player that hosts the video or music but could also be an ad or some other application. Replay Media Catcher can not convert SWF files into any other format so if you have a conversion preset selected this will result in conversion error.
To stop SWF downloading: If you don't want to detect and download SWF files then open Tools, Settings and remove the application/x-shockwave-flash (SWF) entry from the Content Type/File Extension list