Nope. If you have FFDSHOW installed (and it is set to be your decode filter for the particular media type -- which is done during it's install process), you will get a little FFDSHOW icon in your
notification area (those little icons down by the clock) while you are playing back any FFDSHOW handled media. Double click on the icon and the settings dialog will come up (or right click and choose settings or something like that). You can also access the decoder settings via the Start menu (under the FFDSHOW folder), but the settings there will only work if you are using FFDSHOW to play media back.
VLC includes a built-in version of the same filters included in FFDSHOW that are accessable from within VLC, but does not actually include FFDSHOW. It's filters are only usable from within VLC. FFDSHOW lets you use those same filters (and more) with basically any DirectShow capable media player (including Media Player Classic, WiMP, and MC).
If you're not sure what filters you're using to play back video files, then I'd probably just download
FFDSHOW-20051129 from the Wiki page and install it. When you're going through the install process, make sure to select all the appropriate video codecs on the Video Decoder page of the install. I generally just select them all and check "Set for All Users". If the video you're using is pure MPEG-2 rips from a DVD, then you'll need to select MPEG2 (which is NOT checked by default). If you've compressed it to XviD or DivX or something similar, you'll want to check those boxes (though they should be by default). Once you do this, then FFDSHOW will handle playback of those video types (as opposed to other codecs and filters you may have installed on your computer).
FFDSHOW also includes an Audio Decoder, which contains it's own playback processing engine. You can also choose (on the next install screen) to have FFDSHOW handle audio playback processing as well. If you do, and you happen to have a multichannel sound system connected to your PC, make sure to go into the FFDSHOW audio filter controls. By default FFDSHOW's audio decoder downmixes everything to 2 channel stereo. It's easy to set it to 5.1 though.