What's happening is that you don't have the kernel sources for some reason (which is very unlikely, albeit possible). They could also be linked properly
Go into /usr/src
And make sure there's a linux directory. Also make sure it's a symmlink to /usr/src/linux<some version>
If you only have /usr/src/<some version of linux>
Make a symmlink to linux
ln -s <some version of linux> linux
From console, or use your preffered GUI
That should fix it.