What you are after is what is called a Distributed Mode setup. Where you have a dedicated Mgmt server managing you gateway(s). This is different that a Stand-Alone where both the Mgmt and Gateway functions are within the same appliance.
You can read up on how to do this within the Administration Guides of the version you are wanting to deploy. R81.10 is our Recommended version as of today, with the Recommended Jumbo Hotfix (JHF) installed as well.
At a super high level, boot your VM off the ISO image and install your version. Please see sk104848 for Best Practices on deploying a Management server in a virtual environment. Once installed, run the First Time Wizard and step through the questions/settings there. Pay attention to the page that asks if this will be a Security Gateway / Security Management. You will want to deselect the Security Gateway box as you are standing up a management server. Once everything is online and you can open SmartConsole to your Management server, you will repeat the process on your 5200. You can boot off a portable USB DVD drive or use the ISOmorphic tool (sk65205) to create a bootable USB stick. (<= 16 GB and USB 2.0 stick)
During the First Time Wizard on the 5200, pay attention to the same Security Gateway / Security Management page. In this case you will deselect the Management box. You will also set a OTP to establish SIC (Secure Internal Communication) at a later time. When this First Time Wizard is all complete, return to your SmartConsole and Add a New Gateway. Fill in the relevant details and initialize with your OTP you previously set.
