How do I install Virtualbox Additions Clients?

It is recommended that you download the package using VirtualBox as it will download the guest additions that match your VirtualBox (VBox) release.

Once you have the package installed, the only thing VBox does is to create a CDROM that is mountable in your system. It might be automounted by your desktop if you use the KDE or Gnome desktop, but if you do not have a desktop (or the option is not active) then you will have to manually mount the guest addition, a command like the following in a Terminal (inside the guest) should do the trick:
sudo mount /media/cdrom

Then, to install the additions, use the same terminal to perform the following command:
cd /media/cdrom
sudo ./VBoxLinuxAdditions-x86.run

The above command is to install the additions if the guest OS is a 32bit Linux. If you have a 64bit Linux guest OS, modify the command so you install VBoxLinuxAdditions-amd64.run

Note that for the installation to be successfull you need to have at least the following packages installed in your guest OS (I assume that you have a Ubuntu guest OS):
build-essential
linux-header-generic or linux-header-server or ... depending on which Ubuntu flavour you are running.

Of course, if this post does not solve your problem, I would need more information like:
what host OS are you running?
what guest OS do you want to use in VBox?

Ok Huygens and thanx for your answer. It seems to be easy when you are running a 32bit Linux guest OS but unfortunately I try to run a Windows XP guest OS. And my host OS is naturally an Ubuntu.
Guillaume.

Hmm I never tried installing Windows in a VM...
So when VBox opened a window which tried to download the additions from the internet, did you follow the instructions?
And now, don't you have a CD accessible from Windows?

Ok thanks for support, infact in Windows VM you have to download Virtualbox Additions and install like another Windows executable. It works fine. In Linux vm it works fine too. Thanks Huygens.
Guillaume