Any time I set up an new virtual machine with some variety of Linux, I have to install some stuff to allow the VMWare extension to build. The exact requirements change from version to version, but it never worked out of the box (and I am not only talking about kernel headers here). Actually, the latest version of Ubuntu seems to include that extension out of the box, which is friggin awesome!

By the way, I think that this is not a problem at all. I'd prefer a clean, lean system to Windows any day.