"asx" is an XML file format typically used to wrap Windows Media Audio (WMA) files.  The chumby does not currently support the WMA format, so there probably isn't much reason to support asx files.

Hey Duane, something U should know to possibly change that attitude at the Master Chumby Development Support Center....  Many of the picture frames now have the capability to 'tune' internet radio stations i.e. HPs DreamScreen just to name one, and they can play .asx streams such as NASAs LIVE AUDIO STREAM http://www.nasa.gov/178952main_Mission_Audio_UP.asx  . 
To keep the chumby in the competitive arena, I think it would most advisable to give it this capability or maybe provide a way of converting a Live Stream to a format the Chumby can play. (I thought Orb might have a way but haven't found it yet).