I've had this "oddity" as well. In Windows 7 using flash player 11. I got rid of the offending dialogue box in the middle of my video by opening the "flash player settings manager" and ticking the the box that prevents sites from storing data on the hard drive. It had been selected to notify me if a site wished to do that previous to my changing the selection. Sorry I'm not much good at providing a tutorial but I hope that helps anyway...
westhawk