When flv video is delivered over the web, it usually targets a video player created in Flash, which is the swf file. However, the flv is not contained in the swf. It stands off to the side, and the player loads it in. So, if you choose to play your flv in Real Player (I would NEVER make that choice myself, but that's another issue) it is probably the browser and not the author offering that option. What IE is apparently trying to do is make it possible for you to play the flv in a swf player. Why it would do that when the button specifies Real I have no idea. It is probably just being stupid, and downloading the file it sees rather than the actual video.
Just to make things more confusing, there are two types of flv delivery that may be in play. Streaming, and Progressive Download. In the latter case, the full flv is out there waiting to be grabbed on the server somewhere and you can often track it down by snooping the html on the video's html page. When it is streaming, the flv is being delivered piecemeal from a streaming server, and you won't have a way to access the full file. Both Real and Flash can play streaming video, so you won't see the difference when the browser is doing the right thing.
One final note. swf plays in the Flash plugin, which is different from the Shockwave plugin. Shockwave used to play both Flash and Director content, but I don't know whether Adobe has kept it up to date for the more recent versions of Flash. The name Shockwave should never have been apart of the SWF acronym, and officially I don't think it is, but old habits die hard.