He was refuring to using a command line entry to run the .asx file using Mplayer.
If you have mplayer installed then
If you don't have mplayer installed (arguably the best media player for Linux), you can get it here. Install the codecs first, read the instructions. Or you can use yast or apt-get or whatever you use to install software.
Mplayer will play almost any .wmv, .wma, .asx, .rm, .ram, .mov ect. that you run into.
You can also dump the stream to a local file so you can have a local copy of the stream to watch or hear in case you have a problem streaming the file.
Read the man page for mplayer after you install it.
Use the curl utility to see where a file is actually sitting. A link that is a .ram is pointing to a .ra or .rm file somewhere. A .asx is pointing to a .wma, wmv ect. You get the idea.
curl rtsp://www.site.com/stuff/:stuff filename.ram
You can also use wget to get a copy of a file. Then use mplayer to play it.