An ASX file is just a pointer to another media file, it’s just a playlist. For the most part ASX files will point to WMA, WMV, or ASF content. If you right click on the link to your ASX file and select Save Target As then you can open the file in Notepad and you will be viewing the basic playlist. You can copy the link out of the ASX file and go to File | Open URL for a generally troubleshooter. Many times, the ASX file is not done correctly, thus having WMP produce error’s when trying to get the content directed correctly.
Since most ASX files will point to Windows Media Content another thing that has been suggested is that you reinstall the Windows Media Codec’s if you are having problems. Visit the Codec Installation Package for Windows Media Player and run the installer. This should reinstall all Windows Media Codec’s on your system. It’s also a good idea to reinstall DirectX just after you install the Windows Media Codec’s.
More ASX Information – Create ASX files and learn more about the use of ASX Redirector’s.