In case your web hosting account is not configured to server certain mime types with the proper content type. You can change this using .htaccess file.
For example if you need to configure your server to display ASX files:
AddType video/x-ms-asf asf asx
For windows media audio WMA
AddType audio/x-ms-wma .wma
A comprehensive list of mime-types can be found here
There is one more useful feature of the AddType directive. Most of you most probably know that Internet Explorer opens MS Word, Excell, PDF and some other files inside a browser window. To force the browser to download the file you can use AddType to change the document type:
AddType application/octet-stream .doc .xls .pdf