Here's how the Flash menu looks like in Windows:

This menu can't be
removed completely, but most of the items can be disabled.
For Projector files (exe):
Use FSCommand,
like below:
FSCommand("showMenu", false);

That command can be inserted into the first frame of the movie (or
wherever); and once executed, it will get rid off most of the menu
items. However, not all the menu items are gone, and you're still
left with this:

As far as I know, there is no conventional way to remove this menu.
(Unconventionally, some programs such as Juggler
and swiftCanvas can
remove it completely.)
For Flash movie on a web page (swf):
On the Project Settings menu (File » Project Settings),
uncheck the Display Menu checkbox.

Again, not all the menu items are gone, and you're still
left with this:

As far as I know, there is no conventional way to remove this menu.
PS: There's an
undocumented feature in Flash 5 that supposedly can "trap" the
right mouse click.