I've been experimenting with different SWF projectors for a long time now, and so far I think I've tried most if not all of them. I've explained in more detail the best projectors I have used below.
MDM Zinc
http://www.multidmedia.com/software/zinc/
I remember back in when I had Vista that MDM had quite a few bugs running under that OS. It took a while for them to fix those bugs - the bugs didn't stop it from running, but really interfered with the functioning of some methods in the program. For this reason, I decided not to continue testing Zinc and moved on to another projector. Saying that though, I'm certain they have fixed those bugs now.
The program itself has a nice intuitive interface, and allows you create screensaver as well as EXEs (which is obviously good for you).
The product is pricey - currently at $349.99, so this put me off.
You can also generate Mac and Linux projectors which is very attractive, but requires an additional license for each which does cost a lot of money.
SWF Studio
http://www.northcode.com/
This was one of the projectors I really enjoyed working with. It's fully featured, has great community support and the developers are always on hand to help. The projectors it generates are compatible with all Windows operating systems, and I've never had any problems with bugs on this one.
Northcode also offer a student license for SWF Studio for $49. I nearly purchased a license with these guys but the only reason why I didn't was because I found another projector which was better for my scenario which I will come onto in a moment.
I can tell you that one of the reasons why I didn't use this projector (it does sound trivial) is because it had a large file size. SWF Studio allows you to select what size projector you want in terms of filesize - with options like tiny and compact I think but the smaller file types might have dependencies with other files in the directory. This means that you would have to bundle your application with some folders and additional files as well as the EXE itself.
SWF Studio also has the option to create screensavers.
mProjector
http://www.screentime.com/software/flash-projector
mProjector has gone up a version (from 3 to 4) since I last used it, so it may incorporate a lot more features in this version. I remember that the product is very good with transparency, and showcases some 'screen buddies' which use transparency to virtually walk about your screen. The reason why I didn't use this projector is because it didn't have as many Actionscript functions as I would have liked, but I believe it has a lot more nowadays. In your project this wouldn't be so much of a problem because you want a screensaver.
It is reasonably priced at $399 for both Windows and Mac compatibility, but you can buy just Windows or Mac if you wish for a cheaper price.
Janus Flash
I was going to explain this product in more detail but I have now realised that the website no longer exists! Janus is the projector I liked the most and ended up using because of the sheer amount of features available for use in your code.
Like all the projectors I have mentioned above, each one adds functionality to flash which you don't usually get with an SWF. Each product includes pre-built actionscript methods which can interface with the operating system itself to do things you can't do in the Flash sandbox. For example, each one of these projectors allows you to manipulate files (add, edit, delete e.t.c.) on the computer. Janus had the most methods available out of all the projectors I tried. This is partially because Janus used the .NET framework (which meant that .NET 2.0 was required on the system you were executing the projector on).
Also like MDM Zinc, this product allowed you to create applications for the Mac too. I managed to get a cheaper price too when I contacted them directly explaining that I was a student. I recently contacted Janus-Flash to ask about the future of the product, and they said that they may re-release Janus in the future, but for now it's off the market.
Some other products I have used which are worth a mention but I haven't explained in detail: SWFKit, Jugglor, F-IN-BOX (more developer releated as it required cutting code).
A quick search brings up these which might be worth a look: Flash2Me, Flash EXE Builder and SWF to Screensaver.
For your project I think the best option would be SWF Studio. It has lots of nice scripting features you can use to interface with the OS, and is nicely priced too at $299 for a full license.
I hope this helps in your decision for what projector to use, and will save you from trying out many different projectors like I did over several months!