You can choose when VMware will start to direct all keyboard and mouse input to the virtual machine:
When Grab on mouse click is selected, VMware will take control of the keyboard and the mouse on the first left mouse button click in the virtual machine's window. The first click in the window is not sent to the virtual machine.
When Grab on key press is selected, VMware will take control of the keyboard and the mouse on the first keystroke. The first keystroke is sent to the virtual machine.