Hi everyone,
I was having this problem earlier. Whenever I tried to start VMPlayer on Lubuntu 12.10, I was getting an error regarding Kernel Headers not being found. My kernel was apparently 3.5.0-27-generic.
You can get your kernel version by typing 'uname -r' in a command prompt.
What I did to resolve this error was to install the package 'linux-headers-lbm-3.5.0-27-generic'.
In particular, I used the following command:
'sudo apt-get install linux-headers-lbm-3.5.0-27-generic build-essential'
I thought I would post this here in case anyone else was having this problem.
I can confirm that this works (for my problem at least), since I am now running Windows 7 in VMPlayer.
-Steven