The shopping malls have not really arrived in Vientiane yet. Besides from a five storey mall called Talat Sao it's mostly street markets where you do your shopping. Two of the better shopping streets are Samsenthai and Setthathirat. You may also want to check out the Vangthong evening market (mostly food), or the Phimpone market which sells all kinds of Western goods.
As you see there are plenty of options