The 'New' VM wizard doesn't have an option to install an OS that isn't Windows (like Linux or FreeBSD), it only has options for Windows, Migration, OSX Lion (in Lion host), and 3 downloadable appliances, Chrome OS (VERY OLD version), Ubuntu and Fedora. What if I want to install some other distro?
That's only a wording issue on the first screen of the Wizard. It tells you about installing Windows from a DVD or image file. Just select that and read on the next screen. It now clearly says to insert a disk to install Windows OR any other operating system.
I actually noticed that (c'mmon, I'm almost a veteran here ), but I still think it's wrong. My comment wasn't so much 'how do I do it', I know it's possible, but the path to get there is wrong.