I used VirtualBox under XP for running Ubuntu. All U++ sources where in c: in a folder shared to the virtual machine so it was possible to compile U++ in Windows and the same set of sources in Linux.
As it was getting slower and slower I tried VMWare Player about 6 months ago. U++ compiling in the same conditions was much faster. In addition VMWare Player lets you create new virtual machines from an ISO file and you can suspend them so you can freeze VM status.