No you're wrong. The method is to change the overall system default for video formats. ie: right-click any avi, mpeg/mpg, etc. format file & choose open with & choose always open with VLC. That "is" changing the default. After that, LW will launch VLC to launch those types of files. LW always uses the default player. LW itself cannot make the change.

You might want to also check WMP's options to see whether it has any default demands in its settings.