You can't include ASP code in DNN.  You would need to create some ASP pages separate from DNN, make sure that IIS is setup to serve them correctly, and then place them somewhere in your site where you can access them correctly.

In terms of link types, I'm guessing this is the dialog you're seeing in page settings?  If you set a page to have a link, that means that when most controls (like the menu) link to that page, they will use that link location, rather than a link to your page.  However, you page still exists and can be accessed through direct links.  That's probably what you saw when you tried to use the File type.  If you had clicked on a link to that page from the menu, it would've taken you to the file.

Hope that helps,

OK, as already posted, you can't just upload an ASP page and point a link to it.   You need to establish your ASP page and get it running, then link to it.  I would personally do it in an IFRAME - or better still put the code in an .ascx file and make a simple DNN Module out of it.

To answer your direct question, though, here's the rundown.  This option really affects what gets shown in the menu under the name of the page more than anything else.

none : your page is a normal DNN page and will be shown as such when you click on it.

Url : the page is an external link.  When you click on the page from a menu, you'll be forwarded to that external link.  If I set up google.com as an external link on my site under 'google', then clicking on the 'google' page will show the google.com homepage : it won't show the google.com site in a frame, as some people might have expected.

Page : this is a roundabout way to include a page in two places in the menu.  If you select this option, clicking on the menu will forward you ot the selected page.

File : use this to download a file such as an image or zip file.  Clicking on the menu item will either show the image, or initiate a download, depending on the MIME type of the file you link.