Some applications require installation from local folder of Windows.
Windows sees shared folders as network ones, as a result applications with this requirement fail to install.
To check if you have Shared folders enabled, please check the options according to screenshots below.
Open virtual machine configuration > Options > Sharing. If option Share Mac user folders with Windows is checked, Shared folders are enabled. You can manage them by clicking Configure... and selecting the folders you'd like to share (Desktop/Documents, etc).
Click the Shared Folders icon in the top right corner of the Windows window and select Manage shared folders.
Copy the installation file to This PC > Local Disk (C:) in Windows and run the installation.