I would second Mark's comments and add that the *real* reason to get a router in your situation is that it will pay for itself over and over again in simplifying your networking within W2K and VMware and beyond should you ever branch out.
Bridged VMware is a breeze.
NAT'd VMware works and probably works well, but it does require some setup if you want the external net to get access into your NAT'd VM. (Don't get me wrong, NAT works trivially for connections from VM to net.)