To run a DHCP Server or a Gateway on a VM on ESXi, you will need VLAN support.

In order to create VLAN interfaces on a VM and listen to them, we need to attach the VMs virtual NIC to a Virtual Machine Port Group with VLAN 4095, which represents all VLANs.

Before you begin, remember that you may also need to configure the VM. An 802.1Q VLAN trunking driver is usually loaded by default on Windows and Linux. Remember to select an E1000 Ethernet driver. 

Follow these steps to create the Port Group with VLAN 4095 using vSphere Client v6.5:

1. Log in to the vSphere Client and select the host from the inventory panel.
2. Go to Networks
3. From the Actions pull-down, select Add Networking.
4. Select "Virtual Machine Port Group for a Standard Switch" and click Next.
5. Select "New standard switch" or select one of the existing vSwitches. The selected vSwitch should attach to the service network, which holds the VLANs for the VMs. Click Next.
6. In the Connection settings section, enter a Network label to identify the port group you are creating.
   Note: The network label can contain up to 63 characters
   For the VLAN ID, select All (4095). Click Next.
   
7. Check that the vSwitch is configured correctly and click Finish.

This port group will be used when receiving DHCP tagged demands from deployed VMs.