LW doesn't have any integrated protection appz by itself.
To scan files you'll have to use those Security Programs that you have installed on your system (or the ones I reckoned already).

As WW and I already pointed out, if the VLC player is unable to play the file, then it is most likely a corrupted file......not much to do there in that case.

Besides, you can scan the files with your AVG regardless of them being kept in the Saved File Folder of LW or in your Document Folder.

Just open your AVG and choose Custom Scan, then locate the file on your system and scan it....

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"Never Argue With An Idiot. They Will Drag You Down To Their Level, Then Beat You With Experience"