I installed VirtualBox (the OSS version) from the Ubuntu repos (in hindsight it may have been better to use the VB repos, but I’m just lazy), and when I tried to install the guest additions in a WinXP VM, it complained that it can’t find the VBoxGuestAdditions.iso. The solution:
Download the corresponding iso from here (make sure that you check which version of VB you have – for example I got 2.0.4 from the Ubuntu repos, even though the latest is 2.0.6).
Move it to one of the directories listed in the error message, for example:
sudo mv VBoxGuestAdditions_2.0.4.iso /usr/share/virtualbox/VBoxGuestAdditions.iso
No restart of the VM is required, the next time you click “Install Guest additions”, it will work.