Palomine,
.asx files are small text based 'link' files. If you save the .asx and open it in notepad, you'll see that it actually is just a link to an http based .wmv file,
http://e7.crystal-eizou.jp/vf35_vsample.wmv That .wmv is what you can save to disk, so in this case you can just right-click and save-as. In general, though, if you're trying to get these file types and your browser doesn't prompt you to save it to disk or open it when you paste the .wmv address into your browser, and instead just launches Media Player, you can create the following text into a file.html on your desktop, open it, and right-click save as.
<a HREF="http://e7.crystal-eizou.jp/vf35_vsample.wmv"/>Download file</a>
FYI, if you open an asx, and it says the link is to an mms://, you won't be able to save it except with a screen capturing program.
Also: Holy cow, just watched that clip! That's niiiice. And she does hardcore! Sweet!