This solved the problem:
cd /lib/modules/$(uname -r)/build/include/linux
sudo ln -s ../generated/utsrelease.h
sudo
ln -s ../generated/autoconf.h
sudo ln -s ../generated/uapi/linux/version.h
sudo vmware-modconfig --console --install-all
Found here: kernel - VMware Workstation: Error, modules must be compiled... - how to fix? - Ask Ubuntu