The .asf file format has four (at least) different applications:
.ASF - Music file (Electronic Arts)
.ASF - Microsoft Advanced Streaming Format
.ASF - StratGraphics Datafile
.ASF - Lotus 1-2-3 Screen font
Since the file(s) open with Windows Media Player, it is almost certainly one of the first two types.
To make the file open directly, you will need to make a "file association" with the .asf file format to an audio player program like Windows Media Player (WMP).
About file associations. This page shows one way to create a "file association". In this case, associate the file with the wmplayer program.
You may also be able to create a file association directly in WMP. (See *below).
Open the Windows Media Player program, then click the "Tools" menu/Options command.
Click the "Formats" tab and then the "Select All" button. That will place checks in all the multimedia formats that WMP can play. Once done, click "OK". Your .asf file should now play in WMP when double clicked.
Having said all this, however I should caution you that opening a file directly from email without first saving and scanning it for a virus is risky. I would recommend that you always save file attachments, then right click on the file to have it scanned by your
up-to-date antivirus program before opening it. Once satisfied that the file is safe, you can then open it.
*This second method may not work depending on the actual format of the .asf file you're using.
Dwight