Flash Embedding (without the grey lines!)

Every time I put a flash movie into an html document i get that grey square around it when you mouse over it and then you have to click it before it becomes normal and then you can click on it as link or whatever you have set it up to be...I have seen some sites where there is no grey outline and you can click straight away can anyone tell me how this is done.

Help would be greatly appreciated.

Thanks.