If the file is not marked as executable you need to call a command shell interpreter to execute it.
sudo sh foo will open foo with
sh using sudo privileges.
sudo bash foo will open foo with
bash using sudo privileges.
sh foo will open foo with
sh using your user's privileges.
bash foo will open foo with
bash using your user's privileges.
If you mark a file as executable you just need to call it with
./foo and because it is marked as such it will be read with the defined command shell interpreter and executed without the need to define one.
ls -F will list files and mark executables with *.
To enable the execute bit on a file (and make it executable as such) use the command
chmod +x foo.
In your case to make the file you are using executable you would then use the command
chmod +x VMware-Workstation-9.0.1-894247.x86_64.bundle
and then you will be able to run it with either
sudo sh ./VMware-Workstation-9.0.1-894247.x86_64.bundle or just by typing