You need a compiler...
Asm files are assembly language source code and are specific for the type of processor that the code was written for. Using the right compiler will create the object code that can then be stored as a hex file depending on the compiler options you select.
There are many flavors of assembly code and most of them are not portable... Some work is almost always required to translate the code if you want to use it on a different processor than the one the code was written for.
If the code is for a pic, you can download mplab from the microchip website. If you have a pickit (which you will need to load the hex file into a pic anyway), the compiler should have come on the disk that came with it.
If the code is for a different processor, look for the manufacturers website.
RM