First of all, did you download the ISO image or the VMWare Image? If you downloaded the ISO image, then it seems like your VmWare machine is configured to boot from PXE and most probably the ISO image is not linked to the machine as a bootable device. But if you downloaded the VMWare Image, you probably configured your VM to use a *new* VMDisk Image instead of the one you downloaded. In either case, I personally prefer VirtualBox (https://www.virtualbox.org/) over VMWare.
I would check the VM settings to see if the right images are associated with the VM you're using.



