Without providing the forum with a link to the problem you describe it's impossible to determine what the issue may be. The most you'll receive at this time is merely speculative guesses much like what you have already received.
Regardless, despite the fact that when you try to open an .asp file on your computer and it opens Dreamweaver, this is not a Dreamweaver problem, and as such: does not belong in the Dreamweaver forum.
The default application for file types is delegated by your operating system. You have an operating system question at this time, not a Dreamweaver question. You may be able to find more relevant suggestions by submitting your inquiry to a forum that focuses on the operating system you're using. To save you time here's a quick tip: right click the file, get info, choose the appropriate application that you'd like to use to open these filetypes from the "Open with" section of get info and click the Change All... button to change all similar filetypes to open with the application you've chosen.
If you're trying to download a pdf from someone's website and it's not opening as expected the best method of receiving support for opening your file may be to contact the website where you're experiencing the problem. This begs the question: have you contacted the website and explained the issue you're having with their website?!?