I have a Windows (XP) Start menu shortcut pointing to a web address with an .asx file extension. Before I installed Chrome, when I clicked on the shortcut, Windows Media Player would open standalone, take a couple of seconds to buffer the Internet radio station, and start playing. After installing Chrome, Media Player opens in a Chrome tab and takes forever to buffer the site. Is there a way to disable Media Player opening in Chrome?

Try this....
Load Windows Media Player
Right click on the title bar and select Tools > Options
Then select the File Types tab
Make sure that Windows Media File (asf) is selected, you want a tick in the box and the box to not have a grey color background but white
....see if that helps

Thanks for the suggestion ... but it didn't work. Media Player still loads into a Chrome tab and takes forever to buffer the radio station.

Really thought that shoulda worked.
Try right clicking on the shortcut and select Open With > Choose Program, select Windows Media Player and make sure "Allways use this program to open this kind of file" and click OK....this will only work if the shortcut in your start menu is an actual asx file and not a shortcut pointing at an asx file on the web (that mIgHt be the problem)...if it is a shortcut pointing at an asx file on the web maybe you could download it and then drag it into your start menu?....sorry I cant be of more help but Ive never used an asx file before.
Failing all that, is there any chance you could zip up the shortcut and post it here so I can have a look at it, I dont have any shortcuts like that so it makes it a little hard for me to offer advise and test things.

.ASX files are set to always open with Windows Media Player. They do open with Media Player - but inside a Chrome tab.

I don't have permission to post attachments. The shortcut points to http://www.wguc.org/listen/wguclive.asx.

That's the problem - how do I get them to open in media player outside of Chrome?