Fixed,
I didn't have the USB CD Burner mounted in linux when I install VM Ware and the os so it wasn't listed as a device in the VM Session settings, however when I would mount a normal C in it it got detected and insstalled in the Windows session. Odd but it worked. But if nothing was mounted it in linux it wouldn't work in the VM Session. so I added the USB drive as an IDE device in the VM Session setting and bingo it can burn in windows in VM.
Boy I am soo smart. Time for some lunch. Maybe even treat myself to Wendy's and a Mountain Dew.