I'm not aware of any mac video program that plays asx format. But I would warn in any case, a lot of those asx files being so-called shared are apparently rubbish from what I've heard. Some if not much of it spam. And besides, if you want quality video, seek either avi or mpeg/mpg. These are the quality formats. This might be worth seeing: Movie download issues

BTW the mac wmp player is gutless. It doesn't play many formats, you can't downld extra plug-ins/codecs for it, etc. Did you try RealPlayer to play those asx files?