By default your downlds are saved here; C:\Documents and Settings\"your account name"\Shared
For quick & easy access: Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & then right-click the video & select open with .. VLC. If you wish to use VLC to Preview files then it'll need to be your default video player; see Setting Default video app