Open your saved folder outside of LW. Right click on one of the files you're going to want VLC to play. Now go to Open With > Choose Program. Select VLC & tick "Always use the selected program..." & click ok.

If it still refuses to default to VLC, change the file types that WMP associates with. In WMP go Tools > Options > File Types. Now untick the kinds of files you don't want WMP to open, Apply & ok.

If you still have probs, run the VLC installer again & this time tick all the options when the installer prompts you.

*Just be aware that there seems to be a bit of a problem with previewing & launching within LW using VLC. It seems to work fine on a Mac, but a few people have found that it won't work for Windows. What I do is open the incomplete file outside of LW & preview that way... VLC works fine. To launch, just open your folder outside of LW too.