The detailed steps are:
1. Right click on the file type that you want to change the default program for
2. Click on Get Info
3. On the menu Open With: choose the program you would like to open this type of files with
4. Click on Change All...
5. Click on Continue
From now on, all the files with the same extension will open with the program of your choice.
Please note that to make VideoLAN default player for all video files, you will need to repeat this procedure one time each on .mp4, .mov, .avi, .m4v and all the different file types you want to associate it with.