Right-click the file in question & choose Open With .. choose VLC & click option to always use VLC to open with.
If the video still keeps playing up .. chances are it's a dud .. possibly one with some kind of link to a dangerous website or virus inside.
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VLC will not respond to URL linked DRM or similar, however WMP will unfortunately.
I would however recommend you use your security software to check the file for viruses, adware, spyware, etc.