> HI  I have the following problem. My Website
> contains MPG, WMV video and PDF files. When I try to
> mirror the site all videos are converted to ASX

It's not converting anything.

Look up the definition of asx.  It is a file that points to the video content. 
Browsers download the asx file and give it to the video player. It's the video
player that streams the content to the display.

If the site had the actual file reference on the page, you would have to wait
for the entire file to be downloaded by the browser before playback could
begin.

Httrack should get the asx file and then get the corresponding video.  If
you're not getting the videos it's possible that they are stored on a
different server (video.site.org vs www.site.org) Add filter +*.mpg to
override.