I had the same problem (double-click works perfectly in windows explorer, but clicking on the play icon of a video file in Lightroom doesn't do anything). On my system (Windows Vista), VLC is associated to play all types of video.
If I associated QuickTime to play .mp4 files, Lightroom suddenly can play .mp4 video files. So what's the difference? Well, I saw that QuickTime registered an action called "Open", while VLC registered an action called "Play". I manually added an "Open" action for VLC (using the registry editor) and the problem was fixed.
If you are familiar with editing the windows registry, this is the key you need to add to make Lightroom play .mp4 files with VLC (use at your own risk):
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\VLC.mp4\shell\open\command]
@="C:\\Program Files\\VideoLAN\\VLC\\vlc.exe --started-from-file \"%1\""
Replace the path of vlc.exe with your own and you can easily replace VLC.mp4 with VLC.mov, VLC.avi, etc.. to support more video file types.
best regards,
elbandido.
