you have to start the virtual machine then go to Devices menu > install additional addon - that if you are using windows. for ubuntu do this
run this
sudo su
enter your root or root equivalent password
apt-get update
apt-get upgrade
apt-get install dkms
and reboot ubutnu virtual os
when your virtual ubuntu OS start do this
go to devices menu>cd/dvd devices>choose virtual cd/dvd disk file
and navigate to your ubuntu os file you downloaded mine was ubuntu-11.04-server-i386.iso
this will mount that iso as a cd rom again go to devics> select the that file name then run these commands as a root
cd /media
mkdir myubuntuiso
sudo mount /dev/sr0 myubuntuiso/
cd myubuntuiso/
./VBoxLinuxAdditions.run