There might be some other trick to achieve this, but as far as I'm aware vmware will always need to be running. Here's a link that might help you get set up;
In that scenario Windows XP is running headless within the vmware server. I guess you might be able to not have the Win XP task bar and the vmware server off, then you could launch the vmware server and application from a single kde/gnome menu entry. Might take some tinkering.