VMware contains a virtual bios just like it contains virtual hard drives. What uelsk8s is saying is that, by default, VMware is set to boot from CDrom on the first boot ONLY. After the first boot, you have to manually tell VMware to boot from cdrom again. The VMware bios should be accessible just like a normal system; by either pressing the DEL or F2 button during boot; then just make sure cdrom is the first boot device. This will force your virtual machine to boot from the cd/iso again, which will get you back into the VL installation process so you can continue your install. Let us know how it comes along.
edit: uelsk8s beat me to it