It is better to convert to DVD directly. You may use freeware DVD authoring tool called
DVD Flick to convert ASF files to DVD.
And it is always better to watch Windows Media files directly than after conversion.
If you have enough of money you can afford solutions like Apple iTV. There were lots of such gadgets on the electronic show it Vegas this year. But I bet you watch this streaming TV shows for free and would like to have a cheap (better free) solution

Here is what you can do:
- You may use a video card with TVout to watch your Wndows Media videos on your TV.
- And you may buy a cheap DVD player that supports ASF files.