Virtualbox runs inside your main OS and then you install other 'guest virtual machines (VM's)' inside it. Your main OS that you booted into is called the 'host' and the other OS's that you want to run under Virtualbox are called 'guests' or 'virtual machines (VM's)'.
So what you would do is boot into your normal OS (Windows or Linux) then install and run Virtualbox. From there do the following.
1) Download the ISO for the guest OS that you want to run (see below for what an ISO is).
2) Start Virtualbox.
3) In Virtualbox click on the 'new' icon. I'm not sitting at my home PC so can't recall exactly what this is labelled.
4) It will guide you through a series of questions such as the type of guest OS (Windows, Linux, Solaris, etc). So select the type you want and then accept the rest of the defaults for memory and disk size etc. Once this has been setup you have a basic Vm but no OS installed into it yet.
5) Highlight the guest VM you have just setup and then go into Settings. Change the network type to 'bridged' (this isn't essential but I find it the better setting).
6) While in settings choose the Storage option and choose the optical drive (might be labelled CD or DVD) and choose to load the ISO that you downloaded in step 1. If you want to install Windows and have the DVD already then instead of choosing an ISO you just choose to use the CD drive in the machine and it will pass that drive through to the VM.
7) Follow the installation instructions just like installing any other Windows/Linux OS. When it's complete you'll need to go into the VM's settings again and remove the ISO from the optical drive.
8) Stop and then restart the VM in virtualbox and your new guest VM should start
9) To add extra functionality you may need to install the 'guest additions'. But this is optional and we can cover that after you get it running. The additions typically add stuff like being able to run the guest VM at a higher resolution for example.
What is an ISO?
An ISO is just the name for a file which can be burnt to a CD or DVD. It is exactly the same format as the data would be in if it were on the CD/DVD. So instead of having to insert a CD in the drive you can simply point Virtualbox to the file you downloaded instead. In the case of Windows you're more likely to have the catual CD/DVD rather than needing to download the ISO though.