Most (not sure if not all) Windows users can't launch from within the LW library with VLC. You'll have to open your saved folder outside of LW & launch from there: go to your LW library, click on Saved Files then click Explore. Once the saved folder opens, go from there.
It's the same deal for previewing, except that you'll click on Incomplete Files then Explore...preview from the open folder:wink:

If the VLC icon's next to your files then it sounds like you've made it your default player, but just in case:
Open your saved folder outside of LW, right click on a file > open with > choose program. Highlight VLC & tick the box to always use the program to open files of this type > ok.