If the file size is very small, (under 10 kb), it's a link to an external streaming video. If the file size is larger than 500 kb or so, change the file extension from .asx to .asf, and open with Windows Media Player.
It's also possible that, if you view the streaming video from the .asx link, a copy of it will be downloaded to your Temporary Internet Files folder, in case you want to keep it.
Use the same procedure to convert .wsx to .wmv file type.