In case anyone else is having an issue getting Virtual Box to work, make sure that you get version 3.2.x of virtualbox ( I used the latest ) and the latest version of VirtualKD to work with it. Otherwise you will most likely get a crash.

http://www.virtualbox.org/wiki/Download_Old_Builds
http://sourceforge.net/projects/virtualkd/files/virtualkd/2.5.1/VirtualKD-2.5.1-sfx.exe/download

If you start vmmon.exe before hand and have already installed the virtualKD inside the guest OS then when you get to the boot selection, things should appear automatically. ( Debug Window etc… )

Please note also that you can reboot from within the debugger ( kd ) and you may have to select that beforehand in the vmmon.exe application. In my case I had to set the path to windebug or kd in order for the debugger to start because I was setting it up from the winddk