Yeah. I would definitely follow the guide, few things here. If you aren't using VMWare, then you are either installing it, or running it as a Live operating system (see below for description of what that is). The bootable DVD-ROM/USB Drive you make using the .iso you downloaded, will enable you to do both, run it as a Live OS (Changes don't save upon reboot)..or give you the option to install the actual OS. You need to determine what you are wanting to do. My thoughts here..
* VMWare is GREAT, but can be tricky and I haven't seen a lot of people utilizing Kali VM as of yet.
* Kali Live is wonderful and great for mobility (War Driving, Penetration Testing..all legal of course) or if you are generally learning and wanting to play on Unix and don't want to worry about screwing up the Operating System (as I did earlier), but remember changes don't save...the best you can do is setup persistence so you have in essence a place to store stuff.
* Kali Install will install the actual Operating system (Debian) wherever you tell it too and you will run it as an OS.
As for passwords, VM Ware and Kali Live SHOULDN'T be prompting you to SET a password...I ran the VM Ware Kali-Linux1.0.2-AMD64, and it was the default root/toor. Additionally, when I was utilizing the live version past few days, I just logged in using the default password.
The only time I have been prompted for a password yet was earlier yesterday night
when I actually setup a Dual Boot configuration for it, I was prompted during install to setup the root password.
I would say, verify the MD5 / SHA-1 ensure you have a perfect copy.
Pain heals. Chicks dig scars. Glory lasts forever. ~ Shane Falco