VLC media player is used to open video files not .EXE's which are executable files that should open under the normal windows OS. It sounds like you may have a virus update your anti-virus and run a full scan of your computer.Or run this via the web:

http://housecall.trendmicro.com/

Wow, I duno how you did that one, but you can right click the .exe and say open with...-> choose default program, then point it to C:/Windows/explorer.exe or drag and drop the .exes on top of explorer.exe (that might start VLC though...)