Because ASP is a user highlighter, not one of the built-in highlighters. Go to Menu Settings -> Highlighter Settings. On the left, scroll down to the five free "slots" for user highlighters, on the Specification tab on the right, choose ASP from the list.
-- <http://forum.pspad.com/read.php?2,32487,35134> PSPad freeware editor http://www.pspad.com
