After clicking OK on that screen, can you go to the menu and create a small dummy VM?
Eg. File -> New -> "Create a custom virtual machine" -> Continue -> Continue -> Continue -> Continue -> Finish -> Change name to something like "Temp" -> Save.
It will try to start that VM, you can stop/close it.
If you open up VMware Fusion again after the steps above do you still get the "File not found" error?
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Hi Prasanjitpp ,
Did you fresh install Fusion or upgrade it? Would you please click Window -> Virtual Machine Library, and check if there is a icon of deleted VM? If YES, please delete the vm and see if this problem still exists.