VMWare Fusion for Mac starts up after video downloads

I want videos to default to open in VLC for Mac. However, no matter what I do they always try to open in Windows Media Player.

This is what I do to try to fix it:
(To make movies open in VLC by default): I right-click on one movie, then choose Get Info. I select "Open With", then "VLC", then "Change All".

I've done this. See screenshot1




But it still sticks to Windows Media player. Weird.

See this screenshot:



Any ideas what's wrong?

Thanks!
screenshot1.jpg
screenshot1.jpg