Change the root mxml tag to <mx:Module...
then in the properties of the project click on the "Flex Modules" button and add it in there.
Edit: This is assuming your modules are in the same project. I prefer to create new projects per module as it makes development easier with multiple developers. So what I do is create a new project, change the root to <mx:Module...
, in the properties of the module project I disable it from creating the html wrapper, then in my main project I just load up the module swf's based on what menu item was clicked