Stop VMware Fusion to automatically map shared folders

If your Windows XP virtual machine under VMware Fusion (v2) insist to map the shared folder as unit Z: and creates a shortcut on the desktop you must edit the relative .vmx file.

Usually this file is hidden under the following directory

/Users/YourUserName/Documents/Virtual Machines/YourWinVMName.vmwarevm

Find and change to FALSE the following keys

hgfs.mapRootShare = "TRUE"
hgfs.linkRootShare = "TRUE"

The first one is in charge to map the share without your intervention, so that when you open up My Computer you magically find a Z: unit.
The last one tells Fusion to create a shortcut on the desktop.