With your VM running in windowed mode (not Unity or full-screen), at the lower-right corner of the window, there are a series of icons for the various pieces of virtual hardware that can be linked to the VM. The networking icon looks like this: <...> (it's the same icon OS X uses for networking).
There's a screenshot of the icons I'm describing here:
Note that these are on the VMWare Fusion status bar, not the Windows task bar in the VM window.
You can click on the networking icon and connect your various networking devices to the VM. It sounds like your Wifi connection is not being linked, so look for the Wireless connection in the menu that comes on and click on it. In a few seconds, your VM should be sharing your Mac's wireless connection!