The only way is to set the VM to use NAT instead of bridged networking.

ender

I did it and click OK, but when I came back to Virtual Network Editor, I saw it was not done and it is set to Bridge. Do I must do something more?

You need to set the Network Adapter in VM Settings to NAT – no need to do anything in Virtual Network Editor.

Many VPNs cannot do this anyway - the entire point of a VPN is funneling all network traffic from a network adapter through an encrypted tunnel... and many VPNs will disconnect any other networks connecting to the PC while they are active.

When a VM is set to NAT mode, the traffic from VM will look just like traffic from any random Windows program (VMWare itself acts as a router).