What's in the Flash SWF file? Is it a video or a slideshow of pics?
The first step might be to get the video/images out of the Flash SWF file (with ffmpeg) where you can then use it/them to create an scr file (that you can right-click and choose "install") with some screen saver creator utility (which could be IrfanView (see directions) if you're talking about a slide of pics or some video wallpaper program if it's a video).
As in, try searching each part instead of a direct converter.
Maybe the file you downloaded is jus an scr file with the wrong swf extension. You can research how to check that or check it with a text editor to see what you can see in the binary data.
Of course, scr files are known to be dangerous, so always scan them for viruses and make sure it came from a trusted source when it was archived.