Okay so did you already start to create a virtual disk?
Looks like you did if its spitting out that error, did you accidentally hit something else?
I said hit the one that looks like a CD, not the one that looks like a stack.
The one that looks like a stack of CD's is not the one to hit when up to the settings screen.
If it spits out errors again I am willing to try to give you a more direct guide on installing ubuntu in virtualbox under windows.
I am on my linux partition but I am willing to boot into windows to cover all the steps for you.