If there's no icon, check in Finder->Preferences.->General if 'Connected servers' is checked:.
In the filesystem, it's a vmhgfs mount at /Volumes/VMware Shared Folders:
You should now have a 'VMware Shared Folders' icon on desktop in which you will see the folder you've created. Press Next and OK everywhere until all dialogues close and add a shared folder (pick any host folder that you have access to and any name) Unlike other answers posted so far, this one explains how to connect the host and guest via VMware Shared Folders.