You need to have the “kernel-headers” package installed – this is covered in step 2 of the instructions above.

But please note, that as Miguel reported above, the PAE kernel does not work well with VirtualBox and you should use a generic kernel instead. There’s really no reason to use the PAE kernel unless you are running a machine that is not capable of using 64 bit mode (AMD64 or EM64T) and has more then 4GB or memory – this case should be very rare.