For the .asx (WMP).. put the following in a notepad document and then save it as <whatever>.asx
Of course, change things to fit your needs.
Note: This only works in WMP 7.1 and up
Note the trialing slash after "yourPORT"
For the .ram file to open a RealPlayer stream, enter the following into a notepad document:
Then save that as <whatever>.ram
Simply upload those to your website and link them and they will open in the appropriate player.
Additionally, you can embed your WMP and RealPlayers in your site. For RealPlayer, Windows Media Player: