You also need to have ASIO running before opening the program.
If it is started afterwards the program won't load it when opening.
As John, mentioned, it will only work in one program at a time, so if it was opened in another and not shutdown properly it will give errors when attempting to be opened again.

MME does make these aspects easier to deal with. And you are wrong in your assumption that ASIO is 'better' for most applications. ASIO is needed on two occasions; when you want to play a MIDI keyboard and pull the sound from the computer in (close to) real time, or when you want to use effects from the computer in real time on a soundsource coming in the line in of the soundcard. Otherwise you'll hear no difference.. and add load on the system.

ASIO is great when it is needed, not knocking it, but it does have it's caveats.

I do not work here, but the benefits are still awesome
Make your sound your own!