asx files are usually associated with streaming files, i.e. they're usually not a large size - maybe 1k or somewhere around that. If that's the case you would probably need an app that can record streaming audio (It's been a while since I've done this so I'll have to research).
If the files are similiar to mp3 sizes than that's a different story. I'll try to see what I could find that'll convert the file.
A good site to bookmark is
http://www.videohelp.com - it's mostly for video file conversions but they do have audio file conversions as well.