You don't need the external drive. Even if you have one, VMWare Fusion wouldn't currently support it. So, don't worry.
Use Disk Utilities on another Mac to extract the image of Vista DVD in cdr format (you need to choose an option called master disk or something I don't remember while creating disk image to get the cdr file).
Then move that cdr file to your Air, and point Fusion to that cdr drive while creating virtual machine.
But Vista is really slow on MacBook Air. I tried Vista first, wasn't satisfied with the responsiveness, and reverted back to XP Pro. So, if you haven't opened your Vista box yet, return it and get XP. XP is really fast for me.