I should have been clearer above...dmetzcher said:ASX is not a media format...
See this page for details:
http://www.w3schools.com/media/media_windowsformats.asp
You are looking for the ASF format of your file. The ASX file is a plain text file used to describe ASF files.
I believe that I converted an ASF file into MP3 via Windows Media Player for Mac. If not, try EasyWMA.