Thanks.

Here is the set-up:

movie1.exe is the stage for

movie2.swf (frame action "loadMovieNum("folder/movie2.swf", 300");

movie2.swf now sits above main stage and contains buttons that will unload movie2.swf and load other movies (this is where the unwanted window pops up)

"on (release) {
loadMovieNum("folder/movie3.swf", 300,);
unloadMovieNum(this);
}

So movie3.swf now occupies the designated area on the stage, and movie2.swf is unloaded and so on...