Fusion or the Windows VM is accessing your HDD where the VM is stored onto.
Depending on the settings in Fusion, the VM is either stored in one file (small or big, depending what size you have given it) or several "small" files.
To find out what "file system" the VM uses internally why don't you look for yourself via Windows Explorer and open the "HDD" Properties of the C: drive (a right click on the "HDD" should show you some options to select from)?