You can access the URL, but only if the URL is stored in a public variable on the swf you are loading.
You can use loaderinfo to get what you are looking for. You can even call public functions of the loaded swf as well. See this code example:
// load external swf
var loader:Loader = new Loader();
loader.contentLoaderInfo.addEventListener(Event.COMPLETE, swfLoadComplete);
loader.load(new URLRequest('your_external_swf.swf'));
private function swfLoadComplete(e:Event):void
{
// create LoaderInfo instance for loaded swf
var loaderInfo:LoaderInfo = e.target as LoaderInfo;
// add swf to stage, or a parent movieclip... whatever
addChild(e.target.content);
// cast an object to the content property of loaderInfo
var swf:Object = loaderInfo.content;
// access a variable in your loaded swf
trace(swf.yourVariable) ;
// call a function in your loaded swf
swf.yourFunctionName();
}