Initially, I was thinking by disabling the BEEP service in my (host OS) windows system will help to keep the BEEP sound away for my (guest OS) virtual machines. But I was wrong. Certain tasks which i performed in my guest will trigger the BEEP sound.

Click on the below link if you want to disable system BEEP service in particular (guest OS) virtual machines.
Windows XP / Vista / 2003 – Turn off the system BEEP service

1. Make sure VMware Workstation program is exited
2. Look for config.ini in the following folders

For Windows XP,
C:\Documents and Settings\All Users\Application Data\VMware\VMware Workstation\config.ini

For Windows Vista and Windows 7,
C:\Program Data\VMWare\Config.ini

Note:

• The folders may be hidden, you need to unhide the folders in order to see the files.
• If the config.ini does not exist, create the file using notepad.

Finally the annoying beep sound is removed permanently! Cheers.