You don't really want to play an individual .VOB file through VLC as that's only a portion of the DVD content and will include things like the raw streams for the menus and such. A DVD player has to parse the .IFO files which tell it where in the .VOB files each stream starts, and also provides the programming for the menus.
Basically, you want to play the entire folder - so in VLC, go to Media, then Open Folder, and it should play.
Note that due to encryption you cannot simply copy all the files from a DVD using Windows Explorer and have them play successfully. They need to be decrypted.