1.Obviously, you start with some type of QuickTime or other movie file that has the background keyed out and is encoded in some type of codec that has an alpha channel (ie Animation w/ Millons of Colors+).
2. Encode to an FLV with the Flash Video Encoder. In Settings use the On2 VP6 codec with "Encode with alpha channel" checked.
3. Make your swf in Flash that plays the FLV. The video layer is above any layers that need to be behind the vid. Publish it.
4. When you embed your swf in a page there is a wmode (window mode) property should have the value of "transparent" if you want the swf to reveal any thing on the page underneath it. You may need to add this property in your Object tag or however you embed it. To see an example of this, in Flash/File/Publish Settings, chose HTML and there is a window mode option there. Publish the HTML to see.