When you see a .ASX redirect it means that you have a Windows Media stream. Use stream URL finding software to get the URL.

Lots of stream recorders can record Windows Media streams.
The best one is WM Recorder - one click Windows Media stream recorder. But it is not free.

As for free Window Media stream recording software, see the recommendations in the stream recorders comparison chart. I suggest you to try GetAsfStream and SDP Receiver.