Whenever you Copy&Paste (or Cut&Paste) something into or from a VMware instance, the software first copies the files into a temporary directory and later on sends the copy/move job to Windows. Since the Windows task is asynchronous, VMware has no chance to find out when this actually finishes - so it is supposed to clean up this temporary directory at boot time.
However, waiting for the next reboot can clog up quite some disk space (when I develop something I often have to copy many files around between several virtual machines and the desktop) - despite that Windows still likes to BSoD on me from time to time. And sometimes VMware does not get the cleanup right at reboot and the files are still there.