Using awk:

awk '
    BEGIN { IGNORECASE = 1 } 
    /^select asdf/ { 
        sub( /\<sdfg\>/, "XXXX", $0 ) 
    } 
    { print }
' infile

Output:

Select ASDF 325 XXXX sdflk lk
Select TRG 46sdg rasdftz fsgs 45
Select ASDF 6ffg XXXX 4456 sdrg

Using GNU awk:

awk '
    BEGIN { IGNORECASE = 1 } 
    /^select asdf/ { 
        sub( /\<sdfg\>/, "XXXX", $0 ) 
    } 
    { print }
' infile

Output:

Select ASDF 325 XXXX sdflk lk
Select TRG 46sdg rasdftz fsgs 45
Select ASDF 6ffg XXXX 4456 sdrg

UPDATE: Avoid IGNORECASE for a non-GNU awk, and match case-sensitive. Thanks to jw013, who pointed out that detail:

awk ' 
    /^Select ASDF/ { 
        sub( /\<sdfg\>/, "XXXX", $0 ) 
    } 
    { print }
' infile