I've been working with VMWare a bit recently, on my machines. As both the machines I use are relatively new, they came with Vista. Vista has been irritating, but less so than a downgrade.
Vista wants to describe and categorize all the network interfaces. Unfortunately, that includes the virtual network adapters that VMWare sets up (and probably the same for Windows qemu users fiddling with openvpn for its TAP implementation); and it gets its knickers in a twist because they don't seem to lead anywhere. The solution for Vista (pre-SP1) was to take advantage of a bug and add bogus default gateways to the virtual interfaces. The solution for Vista SP1 is more involved, but at least seems more "proper".
Essentially, you need to hack the Windows registry and tell Vista that these interfaces aren't leading anywhere. This seems a bit odd, as there may be an extensive network infrastructure of VMs; but that's it.
Use the registry editor of your choice and follow this: