Sounds like it could be the 'click to activate this control' thing in IE. Not sure if you already know about this but briefly, a law suit has been raised against Microsoft concerning Active-X support, and IE6 (temporarily) has to have this 'click to activate' rubbish to get around it. As suggested, there are various work-arounds to get rid of it, but for most people the second click will work (after the first has enabled the flash object). Try adobe.com for an 'official' work-around.
Unfortunately IE6 is still the browser of choice for the *vast* majority of users (something we forget here working on our Macs). If you make a website, it must work in IE6 otherwise you're going to seriously reduce your potential audience. Pain the backside, I know, because it's not a good browser.