I'll bet your Host is running Vista.
If you don't need to use NAT or Host-Only networking for your Guests, simply disable the two virtual network adapters installed on your Host by VMware Workstation. Start the VMWare GUI -> Edit -> Virtual Network Editor -> Host Virtual Adapters -> highlight each of the two adapters and click "Disable".
Otherwise, you can follow the instructions in one of these threads to fix the issue by making some changes in your Registry:
Script posted by Enickma: http://communities.vmware.com/thread/85154?tstart=0&start=60
PowerShell script listed here: http://www.petri.co.il/exclude-vmware-virtual-adapters-vista-2008-network-awareness-windows-firewall...