At the present time Ubuntu 12.04 is not an officially supported Host for VMware Player 4.x. You'll probably have to patch it.
Have a look at: VMware Workstation 8.0.2 7.1.5 / Player 4.0.2 3.1.5 fix for linux kernel 3.2 and 3.3
Assuming you downloaded the lasest version at the present time VMware Player 4.0.4, you'll need to edit the patch-modules_3.2.0.sh file by changing the following from:
vmreqver=8.0.2
plreqver=4.0.2
To:
vmreqver=8.0.4
plreqver=4.0.4
For the script to run.
NOTE: While I've used these scripts before, nonetheless USE AT YOUR OWN RISK.