To use a (7-Zip) file of VLC Media Player, you first need to extract its contents using an archive tool like 7-Zip or WinRAR. Once extracted, you can run the application directly from the folder, which is often used for "portable" versions of the player that don't require a full installation.
If you are looking for how to manage within VLC (such as subtitles or overlays), here are the most common methods: Adding Subtitles or Text Overlays vlc.7z