Files with "asx" extension

[doug leavens]

I know this has to do with WMP.  My problem is this:
When I click on a radio link that has that extension,
I get a download dialog.  The only way I can get these things to play is to 
save the damn thing and click on it when it's downloaded.
Quite frankly, I find that a pain.
Is there a way I can play the stream without having to save it?
Oh, by the way, when the save dialog box comes up, I do get a message that 
the file can't be open, so that option isn't even available.
Any help would be appreciated. 

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