Maybe somebody else can jump in here and offer better advice?
Unless you know exactly what it can do, you should probably run it on an old machine without [direct] internet access.
Cloudburst uses a vulnerability in the virtual-machine display functions of VMware Workstation that can be exploited by a specially crafted video file.
and...
However, the Cloudburst exploit currently has certain limitations: it will only succeed on Workstation 6.5.0 or 6.5.1 or the associated Player versions. In addition, the guest and host must be Windows-based, among other requirements, Immunity said in its release notes.
Assume that if that's been publicly released, more advanced stuff has already been seen in the wild.
But, yeah, paranoia is healthy in this circumstance.