A flying bug with four weird-looking flags as wings sounds a lot like a type of dragonfly known as the Common Whitetail.
As you can see, the 'flags' are just the coloured parts of its wings. The picture shows an immature male - females are lighter in colour, adult males have a white 'tail' or abdomen. They may look weird, but they're actually pretty common.
Common Whitetails are Found Across North America
They prefer to hang out near water, even water other dragonflies might consider foul, and eat tadpoles, larvae, mosquitoes and other bugs. Common whitetails, also known as long-tailed skimmers, are always on the move, only resting for a few moments every now and then. A common white can grow up to almost two inches long, as you can tell from this video: