The most direct route is to do the following (and it will be helpfull to know this for other files as well)
Open a folder (anyfolder).
On the top menu bar click Tool->Folder Options
Click the File Types Tab
Find the VLC extentsion in the box below.
The application it currently opens with (WMP) should come up underneath.
Click change, than select the program you want to open it with in the next widow, if its not in the list, you can browse for it and just select the executable.
And there you go. Hope this helps, oh and I didn't ask but I hope this is for XP