If you still use VMWare, your Windows guest system will benefit from an installation of VMWare Tools.
The VMWare Tools package is usually installed into this directory:
c:\Program Files\VMware\VMware Tools
It turns out that running the executable:
c:\Program Files\VMware\VMware Tools\VMwareResolutionSet.exe
leads to it trying to lead a phantom DLL:
c:\Program Files\VMware\VMware Tools\VMwareResolutionSet.dll
So, as usual, creating your own payload DLL and placing it in that location can help us to load it via proxy.