Ok! After a couple of hours searching on Internet I have found someone that has the solution (https://github.com/rasa/vmware-tools-patches).
The Host is runing VMWare Workstation 9.0.3 build-1410761
The Guest is a Kali (uname -a: Linux kali 3.12-kali1-686-pae #1 SMP Debian 3.12.6-2kali1 (2014-01-06) i686 GNU/Linux)
And I trying to install VMwareTools-9.2.4-1398046.
1 - Run: apt-get install dkms linux-headers-$(uname -r) build-essential psmisc
2 - Run: git clone https://github.com/rasa/vmware-tools-patches.git
3 - Run: cd vmware-tools-patches/patches
4 - Remove every folder except "vmhgfs".
5 - Get the last version of VMwareTools clicking on VMWare Bar > VM > Install/Reinstall VMWare Tools. It will open a virtual CD containing the "tar" file.
6 - Copy VMwareTools-9.2.4-1398046.tar.gz to "vmware-tools-patches" folder.
7 - On "vmware-tools-patches" folder, run: ./untar-and-patch-and-compile.sh
This procedure worked for me. I didn't even need to reboot the virtual machine. All shared folders are working now.