I've used m0n0wall before - fairly lite and OK to setup - http://m0n0.ch/wall/downloads.php. You could import the VMware image with VMware Converter and here's a setup guide - http://aldosoft.com/docs/m0n0wall-getting-started.html.
For the VM itself you would need to configure 3 virtual NICs. When you start m0n0wall I'm pretty sure vmnic0 would be the LAN / vmnic1 the WAN interface.
