<p>I have a movie which is made up of a series of SWF files that read XML. Is there any way to burn it to a CD/DVD or at least convert it to a 'burnable' format such as AVI, MPEG, or ISO? Currently in order to burn it I have to so some funky screen capture stuff and recorded it to a DVD that way.</p>

Flash CS3 has a nifty way to export any swf (including those that use scripts) to video, but for some reason this is only available when exporting to .mov
Open up your animation in Flash, if you don't have a .fla available making a simple wrapper that loads your swf should work too. Then go File -> Export -> Export movie, and choose Quicktime. Set the various fiddly bits to your liking, and then Flash will step through your animation as fast as it can, saving you both the risk of dropped frames and having to wait for a 1 fps capture.