For very basic explanation - in your case interfaces are very similar to classes - external files with code in it. They are nothing special created with different programs - they are just plain text files named .as
You should provide the error you're getting, but if it says that the interface cannot be loaded, it means that Flash cannot find the file. In your case, if the interface error is about IGame, it means that in your folder where the .swf file is, you must have subfolder multiflame
with game
folder inside it, and a IGame.as file there.
This is of course if you don't know how to manage source paths - there's a property inside Flash AS options which you can set to target specific directory (for example D:\ can be mapped as root of your classes and so multiflame
directory should be inside D:\, no matter where your swf is).
p.s. Further you can read about interfaces and what they do: http://code.tutsplus.com/tutorials/as3-101-oop-introduction-to-interfaces--active-8199
I haven't read the whole tutorial but it seems large enough to cover the idea.