If you preview your Flash movie locally and your images/videos load, but don't work when viewed in a web browser after uploading to your web site, the most common cause is character case discrepancies in file names. For example, "image.jpg" is not the same thing as "image.JPG". So check your file names against what's in your XML file to ensure that the file names are exactly the same.
The above assumes that you're using the HTML document generated from Flash. If you are trying to embed the SWF in a separate HTML document, the error could be an issue with your embedding. See Doesn't work in separate HTML document for more information.