VMWare's VMPlayer is installed without the ability to modify your network settings or create new virtual nets (beyond changing NAT, to Bridged or Host only).  To fix this all you have to do is extract the vmnetcfg.exe file from the VMPlayer installer.  For some odd reason they choose to leave the vmnetcfg.exe in the installer package but not actually install it.  Here is what you need to do:

Step 1: Execute VMware-player-*.exe -e C:\tempdir from a command line
Step 2: In the C:\tempdir folder locate the C:\tempdir\network.cab file and extract it
Step 3: Copy the vmnetcfg.exe file to somewhere like C:\Program Files\VMware\VMware Player\ so you know where to run it from

That's it!  Run vmnetcfg.exe now to edit your virtual networks.  This is a great feature for those who do not wish to pay for the full version of VMWare Workstation.  In your practice labs at home you can modify your network setup to simulate a live environment.  Dual-hone a few of your systems and practice pivoting!  One thing to note:  This does not appear to work with VMPlayer 5.0.  They removed the network.cab file from the installer package in this version.  I would recommend downloading an older version of VMPlayer to get the vmnetcfg file.