How can convert .exe into .scr screensaver? I tried to replace .exe with .scr but it did not work on exe produced by Flash

Executables have to expose several functions to be recognised as a screen saver by Windows: ScreenSaverProc, ScreenSaverConfigureDialog, RegisterDialogClasses - the full details are in scrnsave.h

I don't know if this is possible with Flash, you might be better off writing (or searching for) a wrapper in C or C++ that calls the Flash movie.

Here's one that came top of a Google for "Flash screensaver creator":
http://www.instantstorm.com/[^]