When you installed VLC it set itself as your default player. You can just change it back to WMP, and that'll change the icon too.
Open the folder with your files in it. An easy way to do that is to find the folder in the LW library, and open it with the "explore" button.
Then find the file you want, right click it, > properties > opens with > change, and select WMP, > OK > apply. You can change any file type this way. You should only have to do it once for each file type(mp3, avi, mpg, ect).
I don't think LW can launch files in VLC. You'll have to do it manually if you want it as your default player. I have WMP set as my default for video files. LW can launch the files in WMP. I just use VLC if WMP can't play them.
See:
Setting Default video app