You need to install VLC separately.
Go to Videolan.org to download it and install it on your machine. Make sure you get the 64-bit version if you’re running a 64-bit PsychoPy installation.
If you’re running 32-bit PsychoPy, install the 32-bit version.
I almost forgot. You also need install the python-vlc module. From the command line:
pip install python-vlc