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.
cd vmware-tools-distrib
Install the VMware tools from there.
sudo ./vmware-install.pl
Follow the instructions from there. All the default answers to the questions the installer asks apply to Ubuntu. Hope this helps!