ASX is just a link source, it works with any media really as long as the client supports ASX and the Stream
Regardless of how you do it I'd use the ASX file just for the ability to load it into things like the PS3 and other programs easily
:edit:
heres code for an M3U (even more compatible)
Code:
#EXTM3U
#EXTINF:123,Sample title
Sample.mp3
#EXTINF:321,Example title
http://yourserver:port
that should work okay