According to the Nokia N82 Wikipedia page,
Video playback formats MPEG-4 Part 2 (DivX/XviD), MPEG-4 Part 10 (H.264), RealVideo up to RealVideo 10, with OMA DRM 2.0/1.0 & WMDRM support, Flash video (flv)
Audio playback formats MP3, AAC/eAAC/eAAC+ (in .aac/.m4a files), WMA, playlists, OMA DRM 2.0/1.0 and WMDRM support
It also appears to use Realplayer for playback.

ASF is a container format, like AVI. I believe it was developed primarily for streaming content. You pretty much only find wmv and wma inside.

According to the avidemux website:

The latest version of Avidemux can usually decode the WMV/ASF containers, there are occasionally some files that still have problems with opening or playing. If you have that problem, then you can try to place the WMV contents into an AVI container.

To create this container, you can use the MEncoder in copy mode, e.g.:

mencoder [wmv file] -oac copy -ovc copy -cache 8192 -ofps 100.0 -o [avi file]

Currently, you must also forcefully set the framerate of the output file to 100.0 frames per second (fps), otherwise you will experience large amounts of frame dropping when you come to edit your actual video footage as WMV/ASF is variable fps video.

After you have created your output file, you can load it into Avidemux for editing.