VLC uses its own built-in codecs, whereas other players like PotPlayer or MPC-HC use system codecs. It's up to you whether you want to convert so that VLC can play them back, or use a different player.
To convert, first make sure the codec you want to convert to is installed. That could be standard
Huffyuv, Lagarith, Ut Video, MagicYUV, etc. (I don't know whether VLC supports decoding all of these without plugins; you'd have to check.) Then load the video in
VirtualDub and choose Video -> Fast Recompress, Video -> Compression, choose codec and settings, Save as AVI.
If you have a lot of videos to convert, you probably want to look into batch conversion instead.