Replying to myself here. Sorry, but it's obviously not clear. I don't know if Microsoft wants to hide this or they are assuming everyone has a copy of Windows already or what.

Anyway, I just ran through this process at work. I downloaded the executable. Purchased Windows 8 for the price shown, $39.99.

It took me through some steps. At the end, it gave me the option to create an ISO. I have done this and will try it later tonight when I get home to see if it lets me do a clean install of Windows 8 on VMWare.