Once you have installed the linux headers using
sudo apt-get install linux-headers-$(uname -r)
You may still experience an issue with the linux headers not been found , this can be fixed using
sudo ln -s /usr/src/linux-headers-$(uname -r)/include/generated/uapi/linux/version.h /usr/src/linux-headers-$(uname -r)/include/linux/version.h
This is because the vmware configuration script is looking for version.h in the wrong location , creating the symlink resolves the issue.
Also worth noting every time you do a kernel update , i.e going up ubuntu version , you will need to re-run the configuration script.