An easy way would be to put your desktop environment(s) on a mass storage device along with the VMPlayer MSI and have a small executable that would take care of install/uninstall of VMWare Player and launching your VM(s).
Here is a small tool in C# for doing this. Here is how it looks:
These images above show the following sequence:
1. Installs VMWare Player.
2. Launches VM(s)
3. Uninstalls VmWare Player.
The code follows the same sequence as well.
The directory structure on the USB would look like:
Here are some files associated with it:
USB-OS(F:)
|---- autorun.inf
|---- config.icon
|---- VMOnUSB.exe
|---- LICENSE.txt
|---- vmplayer-installer
|----VMware Player.msi
|---- images
|---- DamnSmallLinux3.4
|---- DamnSmallLinux3.4.png
|---- dsl.vmx
Source can be downloaded from [http://tomaranand.googlepages.com/VMOnUSB-src.zip]
VM(s) can be downloaded from [http://www.vmware.com/appliances/]
