Using James' method works great, if you want to go the extra mile you can do the following:
- Create the .bat anywhere, it doesn't matter where.
- Convert the .bat to a .exe
- If VLC is already your default media player then right-click your video file and click open with>choose another app>your new exe.
You can use a program like "resource hacker" to change the icon to be the cone if you want to go even farther into being a VLC developer.