Unfortunately there is no way to ensure that you can set focus to a flash file that works in all browsers. IE and Firefox have solved this problem (for the most part), but Chrome and Safari are both based off of Webkit which does not have a solution.
If you ever notice on YouTube or other video / flash site that the first thing you see is something to entice you to click on the player, that is due to this problem.
One developer came up with a clever workaround, but it does involve adding some ActionScript to your flash file, this can be a pain in the ass if you are building a generic player.
Gary Bishop: Fixing Firefox Flash Foolishness
Another sort of solution is to set your wmode to opaque. I've heard this works in some situations, but will screw up cursors in text areas. I haven't had much luck with this either, but you can give it a shot.
You can find more information about the no focus bug on bugzilla.