The vlc.zip package doesn't do installation..
The vlc.exe package lets you choose many various options(the start menu items are there too as xtophe mentioned).
I would definately recommend using the installer so that you can get at least the basic idea of the different ways you can directly start vlc(ie. skinned mode, debug mode where you can check for error messages, etc). There are a handful of unique shortcuts provided with the installer(as well as document reference and such).
A quick example of making your own shortcut: The next time you "have to open the vlc folder from my desktop, open vlc player", instead of double-clicking to run it, just right-click-and-drag it to almost anywhere (like [Start] -> and drop it onto [All programs], or drop it to the quick launch toolbar, or drop it on the desktop) -then select "make shortcut" or something like that.
Also, there are more advanced features that allow for:
-file association(letting you simply double-click certain file types to have then open in vlc directly).
-right-clicking on various media files and being able to open with vlc in various fashions.
-sending a whole folder or single or multiple files directly to be opened with vlc.
-and more..
hth