Another thought - can you fire up Player and do Help -> Check for Updates on the Web? Is there an immediate result?
That update checker uses a different subsystem than the one you're having problems with, and if there is a firewall blocking traffic on a program by program basis, as is common on Windows, that update checker should not work either.
If you get an immediate result saying "No new VMware Player updates are available", then the update checker is working and so should our Tools download mechanism.
Finally, if you're in the San Francisco Bay Area, I would be willing to come assist you personally as we are very interested in ironing out the wrinkles with this feature (or conversely invite you to Palo Alto.) Alternatively, if you are willing to trust me, I could remote desktop or VNC into your machine to investigate for myself. This will help us make Workstation and Player better for everyone. Let me know what you think.