The problem is that the VSOCK module isn't getting compiled, despite gcc, binutils and the kernel source packages all being present.

There is actually a bug filed on Launchpad about this issue, and a user submitted a patch to a similar query on Ubuntu Forums. Patching the vmware-config.pl as described worked for me. Create a file with this content:

--- /usr/bin/vmware-config.pl.orig  2008-11-28 12:06:35.641054086 +0100
 +++ /usr/bin/vmware-config.pl   2008-11-28 12:30:38.593304082 +0100
 @@ -4121,6 +4121,11 @@
      return 'no';
    }
 
 +  if ($name eq 'vsock') {
 +    print wrap("VMWare config patch VSOCK!\n");
 +    system(shell_string($gHelper{'mv'}) . ' -vi ' . shell_string($build_dir . '/../Module.symvers') . ' ' . shell_string($build_dir . '/vsock-only/' ));
 +  }
 +
    print wrap('Building the ' . $name . ' module.' . "\n\n", 0);
    if (system(shell_string($gHelper{'make'}) . ' -C '
               . shell_string($build_dir . '/' . $name . '-only')
 @@ -4143,6 +4148,10 @@
      if (try_module($name, $build_dir . '/' . $name . '.o', 0, 1)) {
        print wrap('The ' . $name . ' module loads perfectly into the running kernel.'
                   . "\n\n", 0);
 +      if ($name eq 'vmci') {
 +   print wrap("VMWare config patch VMCI!\n");
 +   system(shell_string($gHelper{'cp'}) . ' -vi ' . shell_string($build_dir.'/vmci-only/Module.symvers') . ' ' . shell_string($build_dir . '/../'));
 +      } 
        remove_tmp_dir($build_dir);
        return 'yes';
      } 

Patch the original vmware-config.pl with it. Do not forget to make a copy first. Open terminal and run:

sudo patch -i vmware-config.pl.patch

It will ask you to type the name of the file to be patched:

/usr/bin/vmware-config.pl

When the file is patched, run it to build the VSOCK module.

Source: Why doesn’t bridged networking work on VMware Server 2.0 w/ Ubuntu 9.04?