Here is some help for iPhone/iPod users who want to listen to .asx streams via their iPhone/iPod
1. Download OPlayer Lite from the App Store.
2. Go to the built in Web Browser in OPlayer Lite.
3. Type in the URL that you want to go to or click on Favorites (Bookmark).
4. Once there save it to your Favorites (Bookmark) in the browser.
5. Zoom in to the link to the .asx file that you want to play and touch the link.
6. Allow about 6-10 minutes for the live stream to fully download.
7. Once you are connected to the .asx stream the music will continue to play until you break the connection.
I would be careful not to connect this way through normal 3G or any wireless carrier connection due to data charges and high data use via streaming.
If you are connected through a free wifi connection there will not be any charges.
Hope this helps you listen to the .asx stream that you want to listen to.