VM Player is much simpler compared with VM Server. If you just looking at the user interface of the VM Player, you find nothing about the VM Player configuration.
Most of the time the VM image are copied from computer to computer and the VM player will auto assign the DHCP subnet and the NAT gateway IP for the VM image. This may cause problems if you want to preserve the IP address of the VM image. so how can we change these network settings?
The answer is inside the installation path of the VM player. For example, C:\Program Files\VMware\VMware Player\
Here, you can find an executable named as vmnetcfg.exe
Edit the Start and End IP addressed under DHCP tab and the gateway IP under the NAT tab.
Update on 2010-03-31:
I am not sure if it is a bug of VM Player.
Assume the subnet of the NAT is 192.168.137.0. If you have problems on the connection between the host and the VM (i.e. They cannot ping each other), try to use 192.168.137.2 as the NAT gateway instead of 192.168.137.1.