Are you just wanting to download it onto your computer or do something else with it? An asx file is just a txt file that points to the actual streaming asf file, so if you're trying to save the asx, it's gonna be a little short diddy.
I just got through downloading some Maroon 5 videos off their site a minute ago and they're all asx extensions. If you don't laugh at me for that, and that's all you want to do, I can hook you up with a way to do it for free.
