VMware Player does not allow you to create a virtual machine from the scratch, only to run existing ones. In order to create new virtual machines, you can use the qemu-img.exe program that comes with QEMU.
The virtual machine consists of two files: the vmdk which you create using the qemu-img.exe program, and the vmx file which is a plain text configuration file.
The following post contains instructions of how to create these files:
In his example, the author uses the guest Operating System as Windows XP. To create a virtual machine for different operating systems, simply change the value of the guestOS variable located at the vmx file. The following link contains the supported values: