But, is it a file like this: dirtymovie.wmv? I use Tbird so I'm fuzzy on OE, but, can't you 'detach' the file from OE and save it to a location of your choice?
Then just open VLC, browse to the file and open it. Do your right-click, open with drill, too, if you want.
But, why do you want VLC to open *.wmv files; WMP ought to do okay with them. I know you need VLC for the files that WMP can't/won't open, but, I let WMP handle the file type that it can.