Go to the menu at the top
VM -> Settings -> Hardware tab -> CD-ROM
and make sure the device and other settings are correct (for instance, mine is /dev/hdc and it is IDE). You can have it connect at power on or you can right click on a little icon at the bottom (while the VM is running) and select to use it. You can also connect the device from within the VM if you have VMware tools installed.
For USB devices like flash drives it is pretty much the same thing but you first have to add the USB controller to the VM's hardware. Use the Add... button on the hardware tab to do this. You might actually have to select the device from VM -> Removable devices -> USB devices once the flash drive is plugged in.