...then the error lies in the data that the SlideShowPro Player is loading. To see where the error lies, we recommend publishing an HTML document alongside your SWF and opening it in Safari with its "Activity" window open (Window > Activity). Any errors that occurred when loading content will show up in red. Check the paths to your thumbnail images to ensure that they are correct.
...then you are probably loading content from a domain that is different than the one serving your SWF. The Flash Player requires permission in order to manipulate bitmap data, and if the host site for your images doesn't contain a crossdomain.xml file that gives the domain hosting your SWF permission to access and modify content, then the request will be shut down.
There are two ways to fix this. One, if you have access to the root of the host domain is to add a crossdomain.xml file. You can find instructions for this here. Two, you can turn ThumbGrid's bitmap interpolation off by setting its THUMB IMAGES/Smoothing parameter to "Off". This will turn off bitmap manipulation so that security is no longer a concern.