Strange. I didn't create it, at least not manually!
I read a post on a Fedora forum (http://forums.fedoraforum.org/showthread.php?t=288237) that discusses this, and they reference a different path to the headers. Take a look, see if that directory exits on your install. If so, use that for the config script and let me know what happens.
VMTools on Fedora is always exciting. 
mike