What version of VMware Player? Assuming VMware Player 5.x, have a look at "Using Shared Folders" in Getting Started with VMware Player (PDF), and more specifically on page 44... "4 (Optional) To map a drive to the Shared Folders directory, select Map as a network drive in Windows guests."
Are VMware Tools installed in the Guest OS?
Did you check the "Map as a network drive in Windows guests" check box?