The packages that yubico has provided are specific to various Ubuntu versions. I wanted to install on my Debian Jessie i386 which is running in VirtualBox Version 5.0.26 r108824 on a Windows 7 64 bit host. It's not difficult, but it did take some searching to get everything up and running, integrated with Iceweasel.
If you're running as a VM, you have to register the Yubikey as a USB device. It's just like a thumb drive: insert the yubikey, open the USB section of the machine description and select the "add" key. Now you can boot up your machine.
You'll need to get a few packages. Start at
You'll see a list of dependencies. Open a tab for 3libu2f-host0 and from there, open another for libjson-c. For each of these 3 packages, choose your architecture at the bottom and download from a good mirror. Once that's done, install them using gdebi, in this order:
sudo gdebi libjson-c3_0.12.1-1_i386.deb
sudo gdebi libu2f-host0_1.1.2-1_i386.deb
sudo gdebi yubikey-neo-manager_1.4.0-2_all.deb
Now you should be able to go to the Accessories section of your launcher and see the Yubikey neo manager there. Run it, and it will prompt you to insert your key at which point an offer to configure services pops up. Select the modes you want and when applied, you'll be prompted to pull your key.
Next you have to set up Iceweasel to handle U2F, which requires an add-on. You can try searching in the add-ons tab under Preferences, but it probably won't work. Instead, search DuckDuckGo for Firefox U2F and you'll see an add-on from Mozilla. No idea why it's out of band, but is. Install it from there, then go to yubico.com/yubikey4 to test your device. When I choose the U2F test, the site complains that my browser doesn't support U2F and I should get Chrome (sudo apt-get install chromium). Go ahead and give the key a test, though, and it should work. Chrome requires an add-on as well, but I found it using the Chrome Store directly.
Hope this helps. I'm putting up a youtube video as well, so if anything is unclear, maybe that will help. Here's a link https://youtu.be/aTMSC3l_0hI