Do you use a proxy on the host machine? I believe that that error means that it is attempting to download the latest version of the tools (from outside of the vm, the vm's settings does not affect this step at all) as it does not come packaged with the installer you must download it at least once, and that download is failing.
Check your network settings or see if there is a way to download the iso image of the tools directly. (I do not know what EULA says about the redistribution of the iso images so I won't link directly to a uploaded copy of my own, but if anyone else is brave enough...)
If you have vmware player installed on another computer the file you need to copy is
C:\Program Files (x86)\VMware\VMware Player\windows.iso
C:\Program Files (x86)\VMware\VMware Player\windows.sig
That file will not be there on your machine (that is the entire reason you are getting the error, it is trying to download it for the first time and is failing)
I found where you can download the ISO, VMware's repository is here.