I suspect that all bitmap graphics (gif, jpg, png…) get blown to a decompressed bitmap before use.
You can change the display quality without asking the user to right-click using the _quality attribute.
I’ve seen people say that you can set the quality on individual movieclips independently. However, when I tried this it only ever set the global quality.
How many enemies are we talking about? How big? Are they rotated or scaled? Do they use one or many bitmaps, or vector graphics? And are you sure it is the graphics which slow it down – maybe your code is inefficient? Do you have one script which moves them all (good), or have you put call-backs on every movieclip (bad)?
Generally what you should do is perform trials on your code, try to work out what is slow, then optimise that.