This won't work without creating a new regulatory.bin file. Or at least it never worked for me. I always had to use CRDA.zip and wireless-regdb.zip and extract these and compile them with parameters changed (I simply changed the "world" domain at the top of the regdb.txt file to 33dBm).
Mine is working fine on Kali 2.0 (at 33dBm).
I have an Alfa AWUS0369NHA adapter.
Also, Etron13, I found I had to download the two packages that are not in the repositories (from when it used to work 6 to 9 months ago). You need to install python-m2crypto libgcrypt11 libgcrypt11-dev libnl-dev, however, libgcrypt-11-dev and libnl-dev are not in the new repositories (I think those are the ones...but 2 are not available...it will let you know).
I had to download them individually from the debian squeeze repository online and install them using dpkg -i. Then compiling everything worked fine. I then uninstalled those older packages.
