To elaborate on the above answer, if the installer of a game is too large it will be split up into one EXE file and several BIN files. You need the EXE and
all the BIN files to be in the same folder, then launch the EXE and the game will install. BIN is not any particular format, it's just some arbitrary extension people add to binary files that have no specific format.
The OS can associate an extension with a program, in your case it associated BIN with VLC. That means when you double-click a BIN file VLC will attempt to play it, whether it makes sense or not. That has no bearing on the file itself though, it just affect the default double-click action of the OS.