I was able to play .asx playlist finally but with 1.1.2 version. Versions .3 and .4 give me error of not being able to open a file.
I used ximarx code provided above, (sytax can be found on the internet of course), plugged my “mms” URL to it.
I saved it to a separate file with .asx extension, loaded WiiMC and launch the playlist from my SD card where I saved the file.
I will try to post my additional findings here if something interesting suffices up, and I would encourage others to do the same with regard to .asx playlist.