If you have some kind of packed file - rar, zip no matter - yes, you can try to play it without unpacking, but it's not the perfect way.
Unpack this file first. So let's say you have file.RAR and 7-zip was installed - next step is: right click on file.rar - select 7-zip and choose extract. You will get file.WMV after unpacking. Fill free to remove file.RAR now and open file.WMV in VLC.