You've probably have noticed that, while mplayer does support—for the most part—Microsoft audio formats, it has trouble recognizing some formats, and therefore won't play them. There are a couple of ways to work around the situation—assuming you have all the codecs required installed.
-playlist option
The general, main workaround to getting ASX playlists to work is to use MPlayer's -playlist option. First step is obtain the full path of the ASX playlist (or download it to your hard drive).
- mplayer -playlist http://full.path.to/playlist.asx
MMS Protocol
This requires dissecting the ASX playlist to obtain a more direct URL of the source. So download the ASX file and open it up in an ascii text editor. Retrieve the source and instead of http:// use mms://
- mplayer mms://full.path.to/source
Other Possibilities
This may not work, but renaming the ASX (or ASF) file to have the extension .wmv and trying to play that file is a possible workaround.