If you are adventurous you could try to make your exe a perl script instead of a flash projector.

Using Win32::OLE and/or this package Win32::GUI::AxWindow you should be able to coax perl into firing up a flash movie (swf) as a windowed activex control.

Then you can get/put variables between the two without a webserver using fscommand() (from flash) here is a tutorial covering moving vars from flash to vb. I can't remember the method for moving vars from vb to flash but I have tried it based on another tutorial whose url escapes me right now.

At least you can know it is possible.