If you are running version X of the VBox package on your Host then you should also be running version X of the VBox GA on each client.
If you are running the PEUL installation on your Host then you should install the PEUL GA on each client. Ditto for the OSE installations.
Since VBox GA contains device drivers then you need to recompile these after kernel upgrade.
In order to recompile the GA you must have the current Linux Kernel Headers installed as well as the bundle of GCC, make, etc. that you need to build models. Most full workstation builds have these installed as standard. Few server builds do. Ubuntu identifies the collection of such packages as "build-essential", but I believe that on Open-SUSE you need to explicitly load the individual components.
So in your case:
you are running GA-ose 1.5.6; (2) you now have kernel-default-2.6.25.9-0.2 but linux-kernel-headers-2.6.25-8.1. You need to remove the version 2.6.25-8.1 headers and install the 2.6.25.9-0.2 ones.
So are you running Vbox-ose 1.56 on your Host. If not then you have a version mismatch.
The bust way to ensure that you have the correct UG GA is to follow the build instrctions in the UG.
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So I have got a problem because the latest version of the linux-kernel-headers package is the 2.6.25-8.1. The 2.6.25.9-0.2 does not exist yet and I do not know if will exist.
Sorry but I would challenge your statement. None of the Linux vendors would issue a new kernel without issuing a corresponding new kernel-headers. Everyone needs this to rebuild their drivers and without these the kernel is useless. On a Debian / Ubuntu system I would suggest that you do an apt-get update because this is usually a symptom of your apt configuration being out of date. Doesn't SuSE work the same way?
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OpenSuSE uses the openSUSE Updater what check if a new package update exist. A few days ago appeared an kernel update and I upgraded it with the result explained in the first message of this thread.
Recompiling VirtualBox kernel module, NOT. It has been packaged. done
Meaning, you need the kernel module for VB because you run the OSE version. Wait untill the OpenSuSE developers are done compiling that module and put it in your repo. This is a common problem when upgrading your kernel when working with the OSE version. If you don't want to wait every time a kernel update comes out for the OSE module to be ready, use the PUEL version found on the website.