You may think is it possible to a DAV file by a media player like VLC? DAV files cannot be directly played by commonmedia players like VLC. But if you are a Mac user, this can be a bit of a hassle because DVR manufacturer usually provides DAV player for Windows only.
For example, you have bought an AlienDVR, then you could find 'Alien Play' in their support center, which helps you play the DAV files on Windows computer. In order to play DAV on your computer, you will need to download the player software that provides by your DVR manufacturer.