http://vthr.via.ecp.fr/~videolan/build/ ... 2-last.zip
Download the zip, unzip it into a temporary area.
It'll have a folder, called vlc-0.8.2-svn. Copy everything in that folder (including subfolders), and paste it over your existing VLC (c:\program files\videolan\vlc); when prompted by Windows, tell it to overwrite.
Look in the activex directory -- there's a readme about how to get the plugin working.
(it's not automated when working with zip files, so you have to shuffle things around as directed by the readme)