What is the "kernel build", and where do I get it?

It's talking about the kernel development headers which are needed for compiling certain applications. On Debian-based distributions, you can install them with this command:

sudo apt-get install linux-headers-`uname -r`

If you're asked for that, you may also require the following:

sudo apt-get install build-essentials

That will install tools like make which might not be installed by default, I'm not sure.