ASX files are not Audio/video files. They are just simple text files that act as a shortcut to the actual media files.
mms://a754.v9248a.c9248.g.vC.akamaistream.net/7/754/9248/v0001/msnauto.download.akamai.com/9248/IIHS/2004/99005.wmv
There is your actual file.