First, make sure to disconnect the XP desktops from the AnywhereUSB via the AnywhereUSB Configuration Utility. To do this, either click the Disconnect button (if available) or click "Edit / Connection List" and remove all IP addresses (if you are done testing on those XP desktops). This will make sure the AnywhereUSB is available for a connection, as one computer (physical or virtual) can connect to it at a time.
On the VMware virtual machine, also remove all entries from the Connection List, then you should be able to click the Connect button (presuming the AnywhereUSB is "discovered" on the left-hand side of the Configuration Utility.). You must choose "Install the software automatically" on each of the 5 found new hardware wizards - do not choose "Install from a list or specific location".