For individual files try right clicking on a file name and choose properties at
the bottom of the drop down. Then choose the Open with tab and change the
association from the list of files by changing the radio buttons. For temporary
changing associations, right click on the file and choose Open With from the
drop down. If your program is not in the list go to the bottom and choose Open
With Other Application at the bottom. either choose it from the list or find it
manually at the bottom. For vlc you can just type vlc.

For all multimedia, try System| Preferences| Preferred Applications and choose
the Multimedia tab. Choose Custom and type vlc in the box.