The connection to between the VM and internet is dependent wholly on how you setup the VM player on your host, and how you are connected to the internet. I'm not able to help you very much with that.
To share files between the VM and your host desktop, you need to enable drag and drop in your VM player. Again depending on the VM player that you use (VirtualBox or VMware Workstation), you will need to find out how to enable this. Once it is enabled, I recommend that you restart your VM to make it work.