Were the kernel headers already installed? If what you say is true, then there is one more reason why I don't use Mandrake.
Yep, I just confirmed it. What a freakin' joke! At any rate on the Mandrake Forum they say to remove the kernel headers and install the kernel source and you should be able to get VMware to compile the modules:
# rpm -e kernel-headers
# rpm -Uvh /mnt/cdrom/Mandrake/RPMS/kernel-source-2.4.19-16mdk.i586.rpm
with the appropriate CD in the drive.