Try this...

In LW's library, click on Saved Files then click Explore. Your saved folder will open. Now right click on the video file that you want to play > open with > choose program. Choose VLC from the list & see if the file opens using VLC now. Or...just drag the video file from that saved folder onto the VLC icon on your desktop. It should open.

There's some more info about using VLC here, if you need it
Using VLC player (Windows)