There are several options explained here: http://support.microsoft.com/kb/815151
Also, if you haven't already, I strongly recommend reading up on ASP.NET Authentication here: http://msdn.microsoft.com/en-us/library/eeyk640h.aspx
Edit
Since you're using Forms authentication and want to deny anonymous users, then you can create a web.confic in the swf folder and put the following in the authorization section:
<authorization>
<deny users="?"/>
</authorization>