From http://www.w3schools.com (Copyright Refsnes Data)

Windows Multimedia Formats

Windows media files have the extensions: .asf, .asx, .wma, and .wmv.

The ASF Format

The ASF format (Advanced Streaming Format) is specially designed to run over the Internet.

ASF files can contain audio, video, slide shows, and synchronized events.

ASF files can be highly compressed and can be delivered as a continuous flow of data (on-line TV or radio). Files can be of any size, and can be compressed to match many different bandwidths (connection speeds).

The ASX Format

ASX (Advanced Stream Redirector) files are not media files, but metafiles.

Metafiles provides information about files. ASX files are plain text files used to describe multimedia content:

<ASX VERSION="3.0">
<Title>Holiday 2001</Title>
<Entry>
    <ref href="holiday-1.avi"/>
</Entry>
<Entry>
    <ref href="holiday-2.avi"/>
</Entry>
<Entry>
    <ref href="holiday-2.avi"/>
</Entry>
</ASX>

The file above describes three multimedia files. When the ASX file is read by a player, the player can play the files described.

The WMA Format

The WMA (Windows Media Audio) format is an audio format developed by Microsoft.

WMA is designed to handle all types of audio content. The files can be highly compressed and can be delivered as a continuous flow of data (on-line radio). WMA files can be of any size, and be compressed to match many different bandwidths (connection speeds).

The WMA format is similar to the ASF format (see above)

The WMV Format

The WMV (Windows Media Video) format is a video format developed by Microsoft.

WMV is designed to handle all types of video content. The files can be highly compressed and can be delivered as a continuous flow of data (on-line radio). WMV files can be of any size, and be compressed to match many different bandwidths (connection speeds).

The WMV format is similar to the ASF format (see above)

Other Windows Media Formats

WAX (Windows Media Audio Redirector) files are much the same as ASX files, but intended to describe audio files (.wma files)

WMP (Windows Media Player) files and WMX are reserved file types for future use by Windows.