All of your files are on your HDD. All you need to do is set VLC as the default Player.
1st. While in LW go to Tools > Options > Uncheck use LW Player. Click Apply OK.
Now go to the LW library. Click explore (lower left corner). This will take you to the shared/saved folder Outside of LW. Now right click any file. See OPEN WITH click Choose Program. Click VLC, Check Always use Program... OK