I use vmWare but not the vmWare player so this may not help, but in the full version you can set up a Windows folder to be shared with the vmWare session. Before you bother with that though, have you tried just dragging the file from the vmWare session to your desktop? Or doing a copy/paste? With the full version I usually just drag and drop.
Here is another option outside of the VMWare or other virtual app tools...
As long as your guest OS has been assigned to a network that is shared with your host OS, you simply need to configure the system OSs appropriately. It doesnt matter if the host OS is on a physical and the guest OS is virtual, or if the systems are in different locations as long as they are either on the same subnet or you can route packets between them.
Once you have the networking portion done, you can follow along on a tutorial such as this one which explains how to set up Windows 7 and Ubuntu 11.04 so they can communicate and share files.