See
Setting Default video app. You'll need to apply the same principle for both avi, mpeg/mpg, etc. files.
For previewing, I'd recommend going to the LW Library window, select incomplete folder, find & select the file & press Launch. VLC on windows has problems with preview function in the newest vlc release. Also this will stop LW creating a PREVIEW file & storing it in your incomplete folder. Preview files can take up a lot of space. Oh ... duh ... Foolofthehill already said that ... sorry.