I searched the web for something that would convert my AVI files that were recorded in my camera into an asf file - the only things I found were very expensive tools, and ones that I was not willing to pay for. And then, I finally found out the secret - an asf file is a wmv file, with the extension renamed. Microsoft explains it here. It took me almost 3 months to find this article, and the purpose of this is to prevent you from wasting that time too.
I choose to try (and then buy) a simple and inexpensive program from BoilSoft; I bought their ASFConverter. This converts my AVI files to wmv; after that, I just renamed the extension to asf, and created a play list (an asx file), and link to it. This works like a charm.
Here's a sample of an asx file that I used:
<asx version="3"> <entry> <ref href="http://www.somelink.com/movie.asf" /> </entry> </asx>