Adam's suggestions are correct. You'll need to install the SageTeX style file into MikTeX (which seems easy; see the link at http://tug.ctan.org/cgi-bin/ctanPackageInformation.py?id=sagetex) and then you need to run Sage on the .sage files it produces. For now, the only way to do this in Windows is, as Adam said, to use scp to move the .sage file into the Sage VMware image, run Sage on the file on the command line, and then move the resulting .sout file back. You will need to make sure that SageTeX "library" (sagetex.py) is installed in the VMware image in a place where Sage can find it. Also, after running Sage on the .sout file, if you have created any images, you'll need to copy that directory back into Windows in the same directory as your LaTeX document.
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