This is pretty much a duplicate question, but I think I should help clear some things up. The three URLs you mention are not equivalent; they are different URLs. There is no file index.asp located in the folder /questions/4803/the-sitemap-paradox/ - in fact there is no folder at all!
The thing you need to remember is that URLs do not necessarily correspond to absolute file/folder names on the server. On the most basic configuration they do, but most sites nowadays use rewrites to remove file extensions and improve SEO with keywords.
In the case of Pro Webmasters, the server sees a request for that URL, then looks up the ID in the database and displays the content. For example it could pass the variables questions and 6392 to a script, say /index.asp that does that processing. (On all the Stack Exchange sites, the part after the question ID is completely ignored, you can change it to anything and the same question will load.)
Finally, to answer your actual question: it doesn't really matter. Create URLs that are nice for users - this means short and descriptive URLs where possible. When you look at the URL for this page you can instantly see what to expect: a webmaster question about whether folders or filenames are better for SEO.
