Kbyrd's answer is correct, but here are the actual commands:
After you click Install VMware Tools
(note that the first step may be optional, depending on what you've got installed and the version of VMware that you are using):
jed@host:~$ sudo apt-get install build-essential
jed@host:~$ mount /cdrom
jed@host:~$ cp /cdrom/VMware* /tmp
jed@host:~$ umount /cdrom
jed@host:~$ cd /tmp
jed@host:~$ tar xvfz VMware*.gz
jed@host:~$ cd vmware-tools-distrib/
jed@host:~$ sudo ./vmware-install.pl
Answer yes to the questions and you should be all set.
Good luck,
--jed