This is how I do it in OS X Lion although if not the same steps then similar should work in OS X Mountain Lion too.
Try the following:
Prerequisite: VMware Fusion App Dock Tile Options set to Keep in Dock
VMware Fusion (menu bar) > File > Open Recent > Clear Menu
Close VMware Fusion
Ctrl-click VMware Fusion App Dock Tile > Show Resents
Click VMware Fusion App Dock Tile
Ctrl-click VMware Fusion App Dock an now no Virtual Machines are shown until run again.