raylsd,
Are you sure your player plays .ASF videos? What I've found in the past is even though the software comes on the CD, the manufacturers generally put GENERIC CD's with the player, so it might be that your player's chipset doesn't play .ASF videos. Instead it might take .AMV or .AVI videos instead....
Do you see a SAMPLE video file that came with your player? If so, what format is that in?
You can also try downloading some sample videos from our site:
Sample Videos.