Secure a virtual machine during a lab exercise

I recently started the Offensive Security AWAE course. On their connectivity guide page, they warn about the hazards of connecting to their labs:

you will be exposing your computers’ VPN IP to other students taking the course with you. Due to the nature of the course (and its participants!), your computer may be subjected to attacks originating from the VPN network. This is true even if you are located behind a NAT device.

I contacted them and asked what I could do to secure my PC (Windows 10 with the VMware VM, running Kali Linux), and their answer was, that I could "separate the IP segment of my VM with the host machine", but they couldn’t help me regarding how to achieve that.

Can someone please help me finding information how to achieve that with the VMware VM?

How realistic is the risk that someone ‘hacks’ into my machine?

Are there other measures I can take to reduce any risks?