Brandon Hutchinson has an interesting article on this.
You can basically extract the windows .iso image containing the tools (you can extract the others, linux, freebsde, as well) and mount them as the virtual cd-rom in your appliance instance.
Brad goes the long way using tar and pax, but Window user can try Winrar or other similar tools. Just extract the vmware-distrib/lib/isoimages/directory somewhere and mount the windows.iso image from the player. It will automagically run, and eventually install. An host reboot may be required.