You need to build the kernel with perf_events turned on. I'm speaking generally here. Maybe some kernel wonks can provide specifics. Actually, for kernel 2.6.31, as listed for Ubuntu 9.10, the interface is called perf_counters. The name changes to perf_events in 2.6.32. If this module is enabled, then there will be a perf_counter.h file in a user accessible location. PAPI's configure takes a guess at where that file might be, but if it can't find it, the configure will fail. If the file is in a less obvious location, you can specify the path on the configure command line using the --with-pe-incdir=<path> argument.
Hope this helps