The problem here is that Advanced Streaming format (.asf) is a data format for streaming audio and video content, and a .asx is merely the metafile. As the audio is being streamed, it's really being held in your PC's memory, which holds a buffer of a certain amount of the audio file (that's a bit of a Blue Peter explanation, lemme know if you want the real techie version
).
The media player handles updating the buffer, so in a roundabout kinda way, only a few seconds of the audio file are held in memory at any one time.
Now, to get around that, you can use tools such as Streambox VCR, or Total Recorder, which instead of flushing the buffer from memory when it has played what it has held in memory, it actually writes it to a file, so that you end up with an MP3 of the total recording.
You can get Streambox VCR from
here or Total Recorder can be found at
www.totalrecorder.com. I'm sure there are other applications that others will recommend too
