I tried Replay Media Catcher and didn't have any problem downloading an http:// .asf Windows Media stream from 3voor12.vpro.nl/djsets/.

For downloading .ASF streams I recommend to use WM Recorder in the ADA mode, freeware GetASFStream or SDPReceiver.

For capturing .ASF streams from your local Windows Media Player I recommend to use WM Recorder in the PRO mode,
or freeware WebVideoCap.