Did you use DW to embed this flash file?
If no then use Insert > Media > Flash and then put in "3DWall Folder/Examples/wall_example1.swf" or whatever it's suppose to be.
Either way however the warning is normal. The embed tag is an outdated tag that is really only there for older browsers. The object tag is what is used primarily. If you use DW to insert the media you should have no trouble as it will insert the right code for all browsers.
The trouble with the interactive portion not coming up isn't part of the trouble with the embed tag. This is something in either the swf file or the interaction between the browser and the swf file. I suggest testing it online and then start troubleshooting the swf.
Abraham