From the official documentation it is not very clear, how to install the guest additions necessary to use shared folders. Here’s how it works:
VirtualBox Guest Additions is a .iso file, that can be downloaded from here (for version 4.6.3): http://download.virtualbox.org/virtualbox/4.3.6/ The file in question is “VBoxGuestAdditions_4.6.3.iso”. Download it and burn it onto a CD. Boot your guest OS in VirtualBox and then insert the burned CD. The installer should start after the CD is recognized.
Tested with: Windows 7, Windows XP