Basically connecting the USB wireless adapter to the VM should work, and I don't know why it doesn't find your wireless router (I assume you don't hide your SSID!?). However, unless there's a special requirement for connecting the wireless adapter directly to the VM, you can simply use the physical network adapters from within the VM. VMware made this possible by presenting a wired network adapter to the guest operating system, which will transparently be mapped to a physical adapter on the host. This allows for running multiple VMs simultaneously with a single physical network adapter on the host rather than one adapter for each VM.
André