The reason for this error is because your modules directory is missing for the kernel version you are running. With a VPS this is a common problem because you are not running the kernel that came with your Linux distribution.
To fix the warning on a RedHat-based server (RHEL, CentOS, Fedora Core), run the following commands:
sysctl -w kernel.modprobe="/bin/true" sysctl -w kernel.hotplug="/bin/true"
Once you reboot the messages will come back, if you want this workaround to always be in place you should add those lines to /etc/rc.local so they are run at boot time.
Alternately, you can add the following lines to /etc/sysctl.conf:
kernel.modprobe=1 kernel.hotplug=1
For Debian-based servers (Ubuntu included), use the following:
mkdir /lib/modules/`uname -r` depmod -a