Smiley helped me on this, as i saw .asf to.
Asf can be played on Windows Media player, but you have to select it as an "open file" since it's a pathway to a streaming radio (online broadcasting).
So, once downloaded it, open Windows Media player.
Choose "open file", select the xxxx.asf file and than Windows Media Player will connect to a online broadcast (if it works well, and it might take a while.
Not sure on the .wmv thing, although i think i saw it.
Maybe others now