I think this behavior is by design, where Windows Vista and Windows Server 2008 treat networks they do not understand as public ones, assuming they are more dangerous. This poses a problem with VMWare Workstation 6.5 and VMWare Server 2.0, whose networks never register as anything other than Unidentified Networks, as far as I know.

So, if I'd like a computer running VMWare (a host) to be available for Network Discovery and / or File Sharing, I need to configure these options every time I boot up that computer, which is pretty annoying. Since I don't use the NAT or DHCP features of VMWare (I use only network bridging), I found a way to get rid of the Unidentified Network entirely by disabling the VMWare options I don't use. I can always enable them later.

1. Start the VMWare Network Editor as an Administrator
   
1. Hit the windows key and start typing "Network" without the quotes.
2. Right click "Virtual Network Editor" and select Run as Administrator.
2. On the NAT tab, set the VMnet host to Disabled and hit Apply. The Service Status should now read "Stopped". If you don't have an apply button it's because you didn't run the Virtual Network Editor as an Administrator.
   
3. On the DHCP tab, remove the two Virtual Networks called VMnet1 and VMnet8. Stop the DHCP Service, and hit Apply.
4. On the Host Virtual Adapters tab, remove VMnet1 and VMnet8 again, and hit Apply. This should cause the unidentified network to disappear from the Network and Sharing Center.

With no Unidentified Networks, your system should properly persist the Network Discovery and File Sharing options.

VMWare adapter bridging still works, and resources previously occupied by unused NAT and DHCP features are now freed up. If you ever need all this stuff back, just restore your original settings. I'd just use an unmodified VMWare host for reference.

2008/12/07 Update: I found an alternative work-around. You CAN change Vista and Server 2008's default behavior for Unidentified Networks. Just run the Local Security Policy. You'll see the setting under Network List Manager Policies. It's simply called "Unidentified Networks". Change the Location Type to Private and you're all set. You can leave User Permissions unset because the default setting will allow you to change the location. Immediately, and upon further reboots, your VMWare Unidentified Network will show up as Private, which will allow your Discoverability and File Sharing settings to survive system restarts.

Security Warning: By changing this setting, you're saying you trust unidentified networks to an extent. For example, if you were to install a device or application that created a network windows could not identify, it would immediately become private, and take on the private profile of your firewall, which is generally less restrictive. I personally find this risk acceptable, because I doubt I will be creating many unidentified networks.