How to fix VMware missing Kernel Modules Issue

If when trying to run VMware after upgrading or installing it gives:

Before you can run VMware, several modules must be compiled and loaded into the running kernel.

Kernel Headers 3.8.0-19-generic

Kernel headers for version 3.8.0-19-generic were not found. If you have installed them in a non-default path you can specify the path below.

or something similar, Simply run:

# Should work for any kernel header
sudo apt-get install build-essential linux-headers-$(uname -r)

Then rerun vmware (for VMware Workstation) or vmplayer (for VMware Player)