vmnetcfg.exe is required when you want to configure multiple network interfaces (e.g. one local and one wireless) in the same machine.
But where is it?
A bug in the installer prevents the installation of the tool vmnetcfg.exe
Run setup again like this from Command Prompt (CMD):
In vmplayer subdir you will find
I ran into this problem several times before and found the answer in some obscure forum. Figure I'd post the answer here for others and also for me in case I need it again :)