If you have full file on your hard disk (not an asx link) and it can only play online, 100% sure it's DRM protected.
I haven't found so far program to remove it from wmv.
Also problem here is that it can only be played on Windows Media Player 9 or 10, so players like VLC can't be used to dump output on disk.

But you can screen capture it while playing!
(It's very important to make distinction here between capturing internet data stream and screen capturing. To save streaming video in it's original form in best quality even with slow connection you use stream capturing software such are WM Recorder or Get Asf Stream or many others, but on the downside you save DRM protection too.)
Screen Capture software captures images from your screen of course and no DRM of course. It can capture whole screen, desired region or window in preferred frame rate and in preferred format.
If you have powerful CPU and video card, the results could be very satisfying. With properly set options quality loss of screen captured video is virtually unnoticeable. The best programs are Camtasia Studio from Techsoft and River Past Screen recorder. The problem is audio saving along with video. For that you must have Total Recorder installed. So that screen capturing software can use TRs drivers as capturing devices for audio.