This video demonstrates how to install Windows guest operating system using the Easy Install feature in VMware Fusion.
Before creating a virtual machine, you must obtain the operating system and any necessary product keys for installation in that virtual machine. VMware Fusion does not come with any operating systems to install in virtual machines you create.
This method assumes that you are using a physical CD or a disk image (.iso / .cdr /.dmg file). You cannot create a Windows virtual machine by using .exe files downloaded from Microsoft, as those files need to be run on a Windows PC.