I've already add this software to an XPe configuration; In fact, the easiest way i found is to add the portable version of VLC : VLC portable (portableapps.com).
I proceed like this : VLC portable is a software which need only a repository in order to work. So I tooke this repository and i created a self extraction (SFX) archive (thanks to winrar).I made a component which include this archive in my configuration. Then, I made a component (RunOnce component) which extract the VLC archive.
PS : when you create a SFX whith winrar, you have some usefull option, like mask mode, or directory to extract.