Not all distros install kernel headers by default; in my experience, most desktop-oriented distros do not. Depending on your distro, you may need to open your package manager (possibly called "Software Center") and find and install the appropriate kernel headers for your kernel.
You can find your kernel version by running the command
in a terminal.
If you have further questions, please provide the name and version of your distro. The more information you provide, the easier it is for others to help you.