If VU lectures are in real media format, i.e their extension is .rmvb or .rm or .ram or .ra then you are out of luck.
I would say that is not completely true. There is always a way out. If the format is any one of the above mentioned one, you can still try to change the format with any of those conversion software.
Moreover, latest versions of Media Player and Jet Audio support all real media format and do have this play speed option.
@dexter811:
Yes, please share file extensions of those lectures. As far as I remember, these VU lectures worked on media player and I used this speed option on all of them.
On another note, try uninstalling and then reinstalling your media player, better yet, to replace it with the new version available on line.
Regards