Booting from USB in VMPlayer turned out to be not as straightforward as I thought. After some digging, found the solution in the article from The Holy Java article. Take note that this document does NOT teach you how to install Linux in a bootable USB; that's for another blog.
1. Download PLoP
2. Unzip the plpbtin.iso from plpbt-5.0.13/install to a folder
3. In VMPlayer, create new Virtual Machine and point the installer disc image file to the extracted plpbtin.iso
4. Run the VM and choose install all upon boot
5. Restart and choose USB when prompted with options
That's it! I was able to boot my Macpup 528 from my USB flash drive.
1. USB was not detected
When you create your VM, there should be a USB in the hardware settings. By default if you choose Linux as your Guest Operating System and choose Other Linux 2.6 for the version, USB will be automatically detected. My mistake was to choose "Other" for the OS and Version which didn't include USB.
2. Still can't detect USB when booting
When you start the player, do the ff as shown in the image:
Virtual Machine -> Removable Devices -> Alcor Micro Mass Storage Device -> Connect