Well, there a number of ways to do this. The easiest way would be to find a file of the type that you want to play in VLC. Right-click on it and scroll to "Open With". Then choose "Other", browse to VLC and click the box that says "Always open with".
Another way to do it is to download and install RCDefaultApp. This is a System Preferences Pane that allows you to set default applications in a variety of different ways. Highly recommended.
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