Beginning with Flash

Hi

I've been creating web sites for a while but as yet haven't built anything with Flash, so I'm pretty much a complete beginner. Basically someone has asked me to embed a promo video in the web site I'm building for them. They've given me a .wmv file (just over 3Mb) and their old web site had a link to watch the video in either Media player or Quicktime. From what I can gather those options are a bit outdated and Flash looks like the way to go these days, is this right?

I used SWFObject 2.0 to create the html file and using a combination of Premiere 6.5 and AE 5.5 I managed to create the swf file, but no matter how I did it the resulting swf file was huge (60-70Mb). Also it looks like IE is trying to download the whole file before it starts to play anything which is no use.

Am I doing this all wrong? Do I need to buy Flash 5 to do this, or perhaps the latest version of AE? I've also seen Sorenson Squeeze mentioned, but it's all extra software I can't really afford. If anyone could give me some helpful pointers on how to proceed I would very much appreciate it.