First I can't open a asf file, second I can't save as avi when I'm in a (direct stream copy) saying that the video source uses a compression algorithm which is not compatible with avi files... :confused:
From the looks of it, Microsoft forced VirtualDub to remove ASF support. So if you need to work with an ASF file, you'll need to use an old version (around 1.3).
I don't have a copy of VirtualDub on this machine to check but surely there is an option to change the compression algorithm to something else. No idea what to change it to though - so experiment!
For loads of video tutorials (e.g. conversion, adding subtitles etc.) try: http://www.videohelp.com/