The Flash 9 player using ActionScript 3 (for Flex or Flash), has an internal structure called a display list. Items in the display list, will be shown, items not in it will not be shown. So if you load an external SWF, it will not be visible until you add it to the display list. Once it is in the display list, it'll receive events (like MouseEvents, KeyboardEvents, ENTER_FRAME, and so on). That's nice, because you can load it and display it at will.
But what about a SWF that also contains audio? As it turns out, there is no audio equivalent to the display list. Once a SWF containing audio is loaded, it will begin to play and you'll hear the audio, whether or not you're displaying it. To stop the audio, listen for Event.INIT on the loaderInfo in the Loader object. Event.INIT fires when the first frame is loaded so you can call stop() it to prevent the playback head from moving forward in the timeline.