Oracle gives a detailed manual on how to download, install, set up, and use VMware here: http://www.virtualbox.org/manual/
You need to have the .iso file for the OS you want to run on VMware!
You can get Windows 10 ISO files from here: https://www.microsoft.com/en-us/software-download/windows10ISO
You can get Linux ISO files easily, just go to the website for the Linux distro you want, and download it from there. (Always make sure that you download ISO files from the official source!)
Popular Linux Distros:
If there are any other popular Linux distros for VMs you think I should put here, just tell me in IRC or comment and I'll add them.
Vulnerable/CTF distros -
You can use these to test your knowledge and practice your skill!
Metasploitable2 - There is also a 0x00sec how-to exploit right here.
Vulnhub - Offers many exploitable distros, along with many other useful resources