Click on VM\Install VMware Tools in the main menu of VMware.
The execute the following command in a terminal of you virtual Ubuntu:
cp /cdrom/*.gz /tmp/
cd /tmp
tar xvzf VM*.gz
cd vmware*
sudo ./vmware-install.pl
vmware-toolbox &
Another problem is that mouse wheel scrolling does not work on Ubuntu under VMware.
To fix it you have to edit the following file:
sudo gedit /etc/X11/xorg.conf
Where you have to have the following section:
Section "InputDevice"
Identifier "Configured Mouse"
Driver "vmmouse"
Option "CorePointer"
Option "Device" "/dev/input/mice"
Option "Protocol" "ImPS/2"
Option "Buttons" "5"
Option "ZAxisMapping" "4 5"
EndSection
Then press "Ctrl+Alt+Backspace" for restating the windows system.