This is easy when you know how to do it.
1. Go to the "Virtual Machine Library" in VMware. Right click on the selected virtual machine and select "view in Finder"
2. Right click on the selected file (It will be something like "Windows XP Professional") in the Finder window, and select "Show Package Contents".
3. Double click on the Applications folder inside the "Windows XP" file you just opened.
4. Within this folder, look for the appropriate application (take Paint for example). Right click on the application and choose "Create Alias".
5. Rename the new 'alias' with the program name, eg. "MS Paint on Windows". Then, drag this out to either the desktop, the dock or the Mac's Applications folder.
Done. Just click on the alais and it works. It's even better if you set VMware Fusion to "Unity" view mode. Go to View > Enter Unity.
The final result (in Unity mode):
Good Luck
Moggy