I would concur, your code says...

print "  <embed src=\"connecting.swf\" ...
[download]

which means a browser is going to try an load connecting.swf out of the same directory as the URL of the page that has it embeded -- in your case /cgi-bin. But .swf files are not executable, and your webserver is complaining that connecting.swf can't be executed.

Move the SWF to some other directory on your server, and refer to it with a URL relative to your CGI ("../../wakko/dot.swf") or relative to your docroot ("/yakko/wakko/dot.swf").