It depends on your version but you may need to apply the same change that is required for most 3.x.x kernel versions which is to copy a file:
cp /usr/include/linux/version.h /lib/modules/<tab to expand to your kernel version>/build/include/linux/
After which the perl install script should find the headers. Note that every time you update your kernel you may have to reinstall tools, that's normal.
Another thing I have to do to build Fedora 18 VMs is to switch to UEFI, otherwise some settings do not work. To do this, prior to your vm install right click your .vmwarevm bundle and choose "show package contents", drill down and open your .vmx file, then add the line in the vmx file near the top: firmware="efi" Save the vmx file and delete the corresponding .vmxf file (which will get regenerated).
Also one of the nice thing about Ubuntu is they have great docs, you could always try it their way:
