I downloaded here all the .swf and .mp3 files.
When I run
$ gnash Lecture.swf
it ends with Aborted (core dumped)
Can I play somehow the whole lecture or convert it to another format and then play it?
SWF files are most frequently played from a web browser that supports the Adobe Flash Player plug-in.
With this installed, a web browser like Firefox is capable of opening SWF files automatically.
If you have a local SWF file on your computer, simply drag and drop it into a browser window to play it.