http://www.videolan.org/vlc/download-macosx.html
VLC for Mac OS X is distributed as a disk image. Download the
.dmg file, open it, and copy it to your hard drive (for instance
the /Applications folder). Open VLC by double-clicking on it.
I assume there's no installation to be done.
Save it to a place that you can find, double click to run it.
Can the Mac people please confirm? 