Aside from checking the permissions on the files, make sure you have Read & Write access, ctrl-click each file and select Get Info...
From the information posted in this Forum since the MacBook Air became available it is safe to say that there is an issue, and by now be considered a known issue, with the MacBook Air and the External CD/DVD Drive in that if the Drive is not present then one must either set the Virtual Machine's CD/DVD to Disconnected, or to an ISO Image or remove the CD/DVD from the Virtual Machine's Settings sheet and in doing so the Virtual Machine should be able to start without crashing!
Have a look at: VMware Fusion menu > Help > VMware Fusion Help > Managing Virtual Machines > Configuring the CD/DVD Drive