To be able to build firmware for ARM Targets, you'll need to install the GNU Toolchain for ARM Devices. An installer for Windows and archives for Linux/Windows can be found here. If you use the installer, make sure the "Add path to environment variable", "Add registry information", and "Launch gccvar.bat" boxes are ticked.
If you're using a Linux based operating system (like the VM), you can install the toolchain via your package manager. For example, in the VM run sudo apt-get install gcc-arm-none-eabi in a terminal: