Normally in Debian, the headers would be in /usr/src/ as a folder called kernel-headers-2.6.8-3-686
Your best course is to run apt-get install linux-headers-2.6.8-3-686 If the headers are installed, apt will say something like 'already latest version', if not it will install them for you.
If usr/src is empty, either you don't have any kernel headers installed, or they're being installed somewhere else. Certainly on any Debian or Ubuntu install I've ever seen that is where they go, but it might be different on a Strat?
There may weel be newer kernels there, but if the running kernel has been patched in any way, quite likely on a strato I would imagine, then they are not going to be loaded. e.g. I have Ubuntu running on a Proliant server that has the HP monitoring software added. Every time I run apt-get upgrade it tells me that 'linux-image-server' has been kept back, for that reason.
But getting back to VMWare, in order to compile a compatible kernel, it needs the source code header files for the running kernel, in you case 2.6.8-3-686, as well as several other libraries.
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