At first You should create CentOS virtual image to play from. You can create it with VmWare Server.
If You already have image then use latest player and it should work.
If You haven't virtual image then use VmWare Server 2 (its free - https://www.vmware.com/tryvmware/?p=server20&lp=1
) to create it. In this case better to use VmWare Server also as "player".
Fast and simple solution is VirtualBox - http://www.virtualbox.org/
(free as beer).