To set the default player go to your LW library, click on Saved Files & Explore. Now, once your saved folder is open, right click on a video file > open with > choose program > click on VLC. Tick the box "always use the selected program to open this type of file" > ok.

Windows users can't preview or launch files using VLC within LW. You'll have to open your saved folder & launch from there. Same deal for previewing, except instead of clicking on Saved Files you'll click on Incomplete & Explore. Then your incomplete folder will open & you can preview from there