itch.io

.swf stands for "Shock Wave Flash" and means the game was programmed to be played in a Flash Player. You'll want to search for a standalone flash player as most browsers no longer have native flash support. I believe Adobe's is still available through a quick google search.

You can still download functioning desktop versions of Adobe Flash. Just google "flash player download" should find a plethora. After that all you need to do is just download the flash file itself here and run it in the flash player. Usually your PC should pick up the trend and open all .swf files in the player.

Dialogue didn't show because that "story" hasn't been added to the game yet. The Octoseal and at least half a dozen others don't have completely finished scenes, so you'll have a bunch that will do that with placeholder text till they get added.