The British Library catalogue records Vanity Fair being added to its collection in 1849 (and published by Bradbury and Evans), so what you've got clearly ISN'T a first edition. (Sorry!).
Your father appears to have got a volume of the series "The Works of William Makepeace Thackeray in Twenty-six Volumes", that was published by Smith, Elder & Co in 1886. A few optimistic antiquarian booksellers might try to sell it for a few hundred quid but it's exceptionally unlikely that any sensible buyer would pay such a price for it. Realistically, like this volume from the same series, it's probably actually worth about a fiver:
http://www.abebooks.com/servlet/BookDetailsPL?bi=2328609498
(Sorry again!)