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Get the Ubuntu ISO image from ubuntu.com. The recommended version is 16.04.3 LTS (Long Term Support). You can use the server or desktop edition. I used the server edition.
Get VirtualBox and VirtualBox Guest Additions
Make sure you have the VirtualBox Guest Additions ISO for your version of VirtualBox. I'm using VirtualBox 5.01.1628. Save the Guest Additions ISO on your host computer along with the Ubuntu ISO. Get the Guest Additions ISO from here:
http://download.virtualbox.org/virtualbox
NOTE: Guest Additions versions prior to 5.1 will not work with Ubuntu 16.04.3. If you have an earlier version of VirtualBox, you should upgrade to the latest 5.1 version.
Create a new VM in VirtualBox for Ubuntu
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Host Port: 1022
Guest IP: <leave blank>
Guest Port: 22
Create Shared Folder
This is for Windows users. If you're using a MAC or a Linux host, things may be quite different. The shared folder allows you to easily transfer files between the guest VM and the host computer.
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After selecting the image, start the VM.
Follow the prompts to install Ubuntu.
Proxy Configuration (optional)
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System Settings → Network → Network proxy
apt proxy setting:
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Acquire::http::Proxy "http://username:password@proxyhost:port";
Reboot the VM.
Install SSH Server
sudo apt update
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The PuTTY SSH client is popular. A connection to localhost:1022 (or whatever port you have forwarded) will go to the VM.
Install VirtualBox Guest Additions
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