Okay, let's go through pretty much everything then.
For WMR, install the
Mixed Reality Portal. This is necessary to get the headset to work at all. And yes, it has to be running even when you are using SteamVR. Go through the setup and when it's done, you should end up in the WMR portal, a.k.a. Cliff House.
For SteamVR, you have to have Steam installed. Assuming you do, you can install
SteamVR for free. You also need to install
Windows Mixed Reality for SteamVR, which is also free. You should then test out SteamVR and make sure that your WMR headset works with it. There may be a small amount of setup (I don't remember). When it's working, you should either see the SteamVR grid, or the SteamVR Home. SteamVR must also stay running for you to run any programs/games that are made for it.
After all that is working, you should be able to launch VaM. Just double-click on VaM.exe and it should launch in VR mode.
I find it best to launch the WMR portal, then make sure that SteamVR starts (start it yourself if it doesn't automatically start), and then run VaM.