VMware player has some well-known issues with setting up the network for player under Ubuntu 12.04 (that is, where Ubuntu is the host OS).
With one small change, I followed the great instructions here: http://www.kartook.com/2012/05/vmware-virtual-network-device-unable-to-loadcompile-vm-player-4-0-2-in-ubuntu-12-04/
The change is that the script you download has the recognised version numbers hardcoded in the header.
Before you run the script (patch-modules_3.2.0.sh), open the file using your preferred text editor, and change the 4.0.2 to 4.0.3, so it looks like:
The script (and VMware player) seems to run fine for VMware Player 4.0.3 on Ubuntu 12.04. If it should make a difference, I'm running x86_64 Ubuntu 12.04.