When you click on Publish a HTML file will be created along with the .swf file. In it will be this new tag in the code used to embed your .swf file:
Copy the new and code into your own HTML. Now if you open the .swf file in your browser you will find that the menu has been remove, however, it will not stop your visitor from printing frames using the browser Print command, unfortunately you have no control over this. Try printing from the context menu in the movie below.