It's not that intuitive, unfortunately. It mounts an ISO which you can find in Nautilus. The ISO contains the tarball of the VMware tools. Untar the tarball in a writable folder (e.g. Downloads). I haven't quite figured out how Ubuntu handles mounted volumes, but for me it's in
/media/cdrom1 (I'm typically a Mac user).
tar zxf /media/cdrom1/VMwareTools-8.2.4-215242.tar.gz
Change to the VMware tools directory.
Install the VMware tools from there.
Follow the instructions from there. All the default answers to the questions the installer asks apply to Ubuntu. Hope this helps!