there's a code for disabling the context menu kicking around somewhere, i'll have a look around for it.
[edit] here it is
//put this on the first frame of your game to disable the right click (context) menu.
//this makes it impossible to cheat in a lot of ways for many different sorts of games.
//this code will work only for actionscript 3. there is another code for AS2.
var my_cMenu:ContextMenu = new ContextMenu();
my_cMenu.hideBuiltInItems();
contextMenu = my_cMenu;
you should also try making the levels unlock buttons on the main menu so you don't have to play through everything again if you lose
this would be done with variables, probably something like:
a button on the mian menu for each level, that appears only when its variable (let's say something like unlocked_levelone) is set to "true"
and then on the frame of each level, you set that level's unlocked variable to "true" so that the button appears if you lose
this is a challenge for you, go forth and further your knowledge!