The easy way was the FS command monkeypants suggested.

Alternately, If you are using dreamweaver, just go into the code view, and find your object and embed tags for the swf movie. In the object tag (which IE reads) you will see a number of <param name=*** value=***> tags. Simply add <param name=menu value=false> among them.
Netscape uses the embed tag, and the params for that aren't bracketed like seperate tags...but you will see the similar params in it...again, just add menu=false among them.

I don't know how better to tell you, so I hope that helps.