Well... you could install autoheader... but you shouldn't need that stuff in autogen.sh unless you've done a "make spotless". Just "./configure" and (I like) "make install_everything" (as root) should do it.
Nasm "seems" to be installed correctly right from the beginning. I think something's "wrong" with your hello.asm. Can you do "cat hello.asm"? (or some other indication that something can open hello.asm?) Very puzzling that, if this file exists and has reasonable permissions, Nasm can't open it!
I'm not familiar with the "virtual machine" part. Do you need to "mount" the directory? I ASSume that if you can see it Nasm should be able to open it, but maybe there's some problem with that(?).
"The first days are the hardest days..." - Grateful Dead
Best,
Frank