The #include is a pre-processor directive which can be located in ASP or HTML pages, as well as some other pages - check the documentation for other page types.
The included file can be ANY file, with ANY extension - except that the contents are added to the current page (ASP or HTML) and the net result should be syntactically correct.
However, by using the .ASP extension, visitors cannot purposly view the contents of the include file (unless they get an FTP connection, of course).