I'm not sure if swf can actually "have" rounded corners, but you can create the illusion of it having round corners by making a mask.
1. At the very top of your layer stack create a new layer named mask.
2. Hold down on the rectangle tool and choose the primitive rectangle tool.
3. Create a rectangle the same size as your stage and in the properties panel, select no stroke and any color for the fill. Also, in the rectangle options section, you can add the amount of round-ness to the corners.
4. Right click on the mask layer and select mask. you'll probably see the layer icon directly below the mask will move to the right slightly. If you have any layers that haven't moved over, you can manually move them over one by one.
5. The published swf will have round corners.
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