Debian / Ubuntu Linux Install Kernel Headers Package

Make sure you have updated version

Type the following apt-get command or apt command:
$ sudo apt-get update
OR as root user enter:
# apt-get update

Search for kernel version (optional)

Type the following apt-cache command :
$ apt-cache search linux-headers-$(uname -r)
OR
$ apt search linux-headers-$(uname -r)
Sample outputs:

Sorting... Done
Full Text Search... Done
linux-headers-4.9.0-3-amd64/testing,now 4.9.30-2 amd64 [installed]
  Header files for Linux 4.9.0-3-amd64

Install linux-header package under Debian or Ubuntu Linux

Type the following apt-get command:
$ sudo apt-get install linux-headers-$(uname -r)
Here is output from the latest Debian 9:

Fig.01: Installing the Linux kernel header using apt-get

# apt-get install linux-headers-$(uname -r)
Sample outputs from older system:

Reading package lists... Done
Building dependency tree       
Reading state information... Done
The following package was automatically installed and is no longer required:
  libftdi1
Use 'apt-get autoremove' to remove them.
The following extra packages will be installed:
  binutils cpp-4.3 gcc-4.3 gcc-4.3-base libc-dev-bin libc6-dev libgmp3c2 libgomp1 libmpfr4
  linux-headers-2.6.32-5-common linux-kbuild-2.6.32 linux-libc-dev manpages-dev
Suggested packages:
  binutils-doc gcc-4.3-locales gcc-4.3-multilib libmudflap0-4.3-dev gcc-4.3-doc libgcc1-dbg
  libgomp1-dbg libmudflap0-dbg glibc-doc
Recommended packages:
  gcc c-compiler
The following NEW packages will be installed:
  binutils cpp-4.3 gcc-4.3 gcc-4.3-base libc-dev-bin libc6-dev libgmp3c2 libgomp1 libmpfr4
  linux-headers-2.6.32-5-amd64 linux-headers-2.6.32-5-common linux-kbuild-2.6.32 linux-libc-dev
  manpages-dev
0 upgraded, 14 newly installed, 0 to remove and 0 not upgraded.
Need to get 20.8 MB of archives.
After this operation, 68.9 MB of additional disk space will be used.
Do you want to continue [Y/n]? y
....
..

Once installed you can compile modules for VMWare or VirtualBox or anything else you needed. Also make sure you install GNU GCC compiler collection on Debian/Ubuntu Linux:
$ sudo apt-get install build-essential

See apt-get(8) page for more information.