When you run VLC, you will get a visual of a black screen with a traffic pylon in the middle. On the top is the standard Windows menu but instead of "File Edit Tools (etc)" you will see "Media Playback Audio (etc)". Click on Media.
On the Media menu, click "Open Network Stream".
In the popup that follows, enter:
rtsp://192.168.0.40/au:scanner.au
but replace 192.168.0.40 with whatever the IP address of your scanner is (you can see it in Wi-Fi setup on the scanner menu).
Once you hit "Play" on that popup, you should be connected. Windows may pop up a firewall warning saying that Windows is blocking VLC. Check the box marked "Private networks" on that screen and hit OK or Apply or whatever the affirmative option is.
If you don't get a firewall notice and you don't get audio from your computer a few seconds after the audio comes out of the scanner, and you are sure that you have the right IP address, you may have to manually change your firewall settings.
I haven't encountered a firewall configuration that didn't let VLC through, and when I go into Windows Firewall, VLC isn't even listed, so it's not got a custom rule set up.