I do it with SDP. Under "products and info" choose "sdp receiver version 2.0.0" and your download will start. It's free.
http://sdp.ppona.com/
That other one looks good, too. I may try it.
You can also open the asx file in notepad and copy the actual url of the stream, then try to download it. If it's mms, it probably won't work without software, but if it's http, it might.