An SWF file is a compiled Adobe Flash "movie." It's not really an image. Flash movies can be interactive, dynamic, static, etc., much like a Java applet. For this reason, there is no way to "convert" a PNG file to an SWF file. If you had Adobe Flash, you could create an SWF yourself, but chances are you do not.
In the case of your leek, it appears to be just a simple static image embedded in the SWF. The reason you didn't see "copy" or "save as" when right-clicking was that Adobe Flash player has its own context menu. Ctrl-U didn't work either because Flash player traps keystrokes. If you want to save it, you can use your browser's file menu. That would be the easiest way. The reason your search results suggested viewing the source was that usually when people want to save SWF files, they are taking them out of existing web pages. By contrast, you are looking directly at the SWF file - you don't have to try to find the url in a web page's source because you're already at that url.