Also will pages from WD export with .aspx file extension?
Except for the first page (which will always be exported as *.htm), you can name a page with any extension you like in the Page tab of Web Properties, but that won't make it an aspx coded page, it will still be regular HTML.

Web Designer is not designed to create such 'connected' sites so whatever you do will be a compromise (placeholders with code) compared to building your pages in a coding environment such as Dreamweaver (or notepad if you're top gun code slinger )
What Web Designer can do it is extremely good at, it is fast and efficient but it is most definitely not a professional web developing environment.

(btw: ASP and PHP are quite similar. Both are server-side scripting languages and commonly used to connect to SQL databases)