That seems to only apply to some windows users that VLC won't preview. So all I can suggest is you go to the LW Library window, select incomplete folder, select the file you're downloading & press Launch. This will work. It also stops LW creating a preview file which it stores in your incomplete folder. Another way is to select incomplete folder, press Explore button, arrange by date modified, find your file near top of list & double-click.

I personally prefer doing these techniques as I don't like LW creating preview files & then me having to delete them later from the incomplete folder.