(Spoilers All) About the legend of Azor Azhai

His story/legend comes from the eastern regions. From Asshai if I am not incorrect, yet all he did was in relation to Westoros, he defeated the Others in Westoros, when the only people in Westoros were the first men and the children of the forest. By this time the war between the first men and the children of the forest was over, and the arm of dorne had been shattered. So if Azor Azhai was from Asshai, how did he get into Westoros?(did ships exist back then?). Also why is a Westerosi hero so popular in Essos but no one actually talks about him Westoros itself? I know people think that Azor Azhai and Bran the Builder(builder of the Wall and possible founder of the Stark house) are the same person, that explains why no one in Westoros talks about Azor Azhai but why is the legend so popular all the way over in Asshai? If Bran the Builder and Azor Azhai were the same person, then it is possible that Azor Azhai wasn't even a follower of the red god, he worshipped the Old Gods.