The msu file is the system software for the ATD appliance itself. It isn't part of the vm creation that you do in VMWare Workstation. The product guide has the specifics, but you will copy the msu file over to ATD using the atdadmin account and then you can run the upgrade for it either from the CLI or the Web UI.
If you are asking how to build a virtual ATD, that isn't something that we offer currently.
you cannot install ATD on a virtual system. The MSU File is the system image or Android image for the ATD Hardware appliance. ATD is an own secured and "special" hypervisor, where a file is executed in the VM (VMDK->converted to IMG).
There are some inofficial infos available about a virtual version. So, please, contact your McAfee representative if there are any official infos available.
Btw, i saw some Intel NUC devices where ATD is installed on, limited to 4 VMs. Let´s see if there will be official Hardware/Software available.