.asx video file type - "WMP cannot play this file"

OS: win7 HP SP1 64bit
WMP 12.0.7601
WMC 6.1.7601
IE 9.0

I get the following error message when trying to view a video file *.asx ...
"Windows Media Player cannot play the file. The Player might not support the file type or might not support the codec that was used to compress the file."

Plus, I also get a similar error msg with WMC.

However if I select VLC to play the video, it plays just fine. Plus I get the following information.

The video codec is identified in VLC as:
MPEG-1/2 Video (mpgv)
resolution: 528x480
frame rate: 59.940059
Decoded Format: Planar 4:2:0 YUV
Stream 1
Type: Audio
Codec: A52 Audio (aka AC3) (a52)
Language: English
Channels: Stereo
Sample rate: 48000 Hz
Bitrate: 192 kb/s

Why can't WMP or WMC play this native MSFT video format?

the file has an incorrect extension.
change asx to mpg

Shark007 said:

the file has an incorrect extension.
change asx to mpg

I can do that, but I'm confused as to why Windows doesn't recognize it?

I thought the purpose of the asx was to inform windows that it is to display an incoming video stream and to play it immediately, rather than to download it first then play it. If I change the extension to mpg. then wouldn't IE download the file and then play it?

Again, I'm looking for IE to play the video on the fly and that is what I thought asx meant.