.asx files are merely text documents. They are used in adding certain data to the windows media player(author, next song etc...). If you are familiar with Real Media, they are much like a .ram file. One feature a .asx has is it hides the actual video and 'grey's' out the SaveAs feature of a player, so you can't do a save. Mainly used for embedding your file into a web page, I seem to remember Vegas 1.0 had a feature that would export a .asx for you, but it has since disappeared, much like the amount of ram used that used to be in Vegas Status Bar :(. Stream Anywhere can make the .asx files, and there are other free ware programs out there.
Is this a trick question?
You would want to find the file that it "points to"....and bring that in Vegas?
I did a quick web search, and found a utility WHICH IS NO LONGER AVAILABLE for DL which allowed compiling of these asx files for custom "PLAYLISTS"...or something...that's it. Maybe Bill Gates says "don't touch".
Open your asx file with a right click and Open With notepad. Note the asf file it points to (a previous post showed the format), then find that file on your hard drive (if it's on your hard drive) and load that into Vegas. Vegas will play it from the timeline. You can then convert it into any format Vegas supports.