how do I open an .asf file?

The file is a Microsoft Advanced Streaming Format and probably very tiny in file size.

Those I've seen in years past are simply a "link" to an online media file of various formats.

Use the free VLC player instead of trying to convert the file.

ASF is a very old container format. Few players support it. Since you did not specify if you're on Mac or PC, I can't help more than suggest to google for an .asf player or converter.