Every windows program wants to be the default. lol Find the video file you're downlding or have downlded & go to File ->Open with or right-click the file & choose those options & select VLC & tick always open with.

You can also access your downlds this way: For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.

You can do the same thing with the incomplete folder in the LW Library window.