...
Q: What is NAT Networking?
A: Network Address Translation (NAT mode) gives a virtual machine access to network resources using the host computer's IP address.
...
A: Host-only networking creates a network that is completely contained within the host computer.
...
Q: Why am I warned that a file "does not exist and therefore cannot be connected as a CD-ROM image" when I start a virtual machine? 
A: Virtual machines can be configure to simulate an CD-ROM drive using an CD-ROM image file. This is often done during the setup of a new virtual machine using a downloaded CD or DVD installer disk image. When the CD-ROM image file is deleted or moved, VMware give this warning and disconnects the virtual CD-ROM. To configure the virtual machine to use the CD-ROM drive on your computer, shutdown the virtual machine, and select Settings from the Virtual Machine menu. From this screen, select CD/DVD under Removable Devices, and then be sure that Connected is checked, select Automatically detect physical CD/DVD drive and select OK. The virtual machine will now use the physical CD/DVD drive the next time it is started. These settings are virtual machines specific, and will only apply to the virtual machine you selected to edit.