This was caused by CDS internal client error (3033), issued when I tried to download VMWare Tools for Linux - version 8.8.4.
As one could expect, the solution is download the package by hand. Problem is that was not so immediate to find the right file on the net.
If you have the same issue, here is an hint:
http://softwareupdate.vmware.com/cds/vmw-desktop/player/4.0.4/744019/windows/packages/This is the file I was looking for:
tool-linux-8.8.4.exe.tarI un-tarred, and then executed it. And then I was able to continue the standard procedure from my Linux box.