If they are different, under what circumstances should we decide to use either approach?
Also, what is the advantage of ascx over aspx?
user controls are a form of custom control, that gives you a visual designer. They are ideal for use when you want a reusable control within the same web site. (It is possible to create and package user controls as seperate assemblies but that is beyond the scope of this question and I know has been asked on SO).
A custom control is typically used to refer to a Web Control, or a Composite Control which is specialized form of a web control. These controls have no designer and are usually implemented in seperate projects from your web allowing them to be reused accross many sites.
Now your second question, ASCX and ASPX are two different things. ASCX is the extension for a User Control, where as ASPX is an ASP.Net Page. You cannot use an ASCX by itself it must be placed onto an ASPX or Master page.
One way I like to use user controls is I have for example a very complex page which have 7 tabs, 5 of those have grids, of those grids three of them are identicle. Well what I can do is create a seperate user control for the content of the tabs, this now reduces the code I need down significantly (Since three grids are identicle except for the data).
Further more it allows multiple to work on various parts of the page, and it helps me keep everything straight since I am reducing the complexity of the page. You do not use User Controls instead of Pages, you use them in conjuction with a page.
You do not use ascx over aspx. You use ascx to complement. For example on my site every page has the same footer, but I don't want every page to derive from a single master page. I can create my footer as an acsx control and put it in each of my master pages.
Another example, I have a form that lets a user enter three different date ranges. (And we have other forms). So I put the logic to enable a calender button, and a text box that when clicked on opens up the calender, in a user control. I can then reuse that user control in all my aspx pages.
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