When you double-click it, does it open your VLC player or not? If not, then it is a file association problem.
To test this, open VLC player and use its file-open menu to open the film. If that does open it, then Windows has not been configured to use VLC Player as the default application for that particular file type
If it still doesn't work, than the problem is something else. Please try it and let us know what happens.