In WMP goto options and then plugins - you will see "look for plugins on the internet" follow this link. ASF format is a newer format so may not be included with your win2000 WMP version.
Also get the windows Tweak MVP plugin (if there is one for win200 version!)
I have windows 2000 SP4 installed. I have some AV clips in .asf format in a folder. When I enable thumbnails view option for that folder I see Windows Media Player icon for all clips. In my other laptop with Win XP the thumbnails show the first frame of each clip making it easier to identify each. Is this a Windows 2000 limitation or Windows Media Player 9 problem or am I missing some configuration setting somewhere? Any help would be very appreciated.