Problem moving application from DMG file
After you download the VLC.dmg, you double click on it to create a installer and it opens new window that looks like this.



Now just "drag" the VLC.app icon to the Application folder.

Alternatively, copy the VLC.app to the desktop and then move it to the Applications folder.

There are some reports regarding the Finder Error -36.

Try the "dot clean" as described here http://osxdaily.com/2015/02/21/fix-error-code-36-finder-mac-os-x/

and explained here: https://developer.apple.com/library/mac/documentation/Darwin/Reference/ManPages/man1/dot_clean.1.html