ASX stands for Advanced Stream Redirector.
An asx file is used to store information on servers and media files for streaming video and audio over the Internet, such as multimedia web sites. The .asx file is a simple text file that contains server and media information, so you can easily find out the name of the file and server address of the streaming content with a text editor.
The Advanced Stream Redirector (ASX) format is designed to store a list of files to play during a multimedia presentation. It most often points to one or more ASF files. If an ASF file is on a remote server, usually an ASX file is needed to go along with it, because some browsers will attempt to download the ASF file directly instead of sending the URL to Windows Media Player.