Form the screenshot, it looks like you have an Ubuntu host.
You can manually edit the vmx configuration file of the VM.
ethernet0.connectionType="custom"
ethernet0.vnet="VMnet2"
ethernet0.displayName="VMnet2"
Change the ethernet0 to ethernet(n) where n is some number 1 or above if there is more than NIC in the VM.
You might find that after the edit, the Custom option will appear in the VMware Player UI when you edit the network settings.
