asx files don't generally contain direct http links, so you won't get urls; I believe windows media server uses a proprietary protocol in order to stream more reliably and keep snoops out, with an mms:// label. I was actually looking for something to record streams at yahoo, I just can't get the asx (flash player, grr), but as soon as I can I'll give those programs you mentioned a shot, ultimatebilly.
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