This is not necessary and won’t help with playing it with that URL. ‘trusted locations’ is one or more locations on your hard drive, so folders. SWF apps placed in these folders run with certain security checks disabled. It’s a convenience feature for developers, who were developing apps for uploading to a web site but were not yet ready to upload. Usually Flash security stops local apps accessing files on a remote server, and vice-versa, and this feature disables it.
It could be worth trying. Download the SWF to a folder. Add that folder to ‘trusted locations’. Then navigate to and open the local SWF with Flash projector. You might need to try a few things for the trusted locations, as Windows (and macOS) can describe file paths a few ways.