Have you installed VirtualBox from the repositories? This is one of the
rare occasions when you need to go to the website and install from there
(download the .deb iirc - it's plain sailing from there). The version in
the repositories is, as someone put it recently, crippled, and won't see
the USB. This is probably the answer to your CD Burner question as well.
I believe the better version is known as PUEL, someone will correct me
if I got that wrong.

Once it's installed you can go to settings and enable disk drives, usb
and other peripherals, or you can enable them on the fly while windows
is running in VB, at the icons in the bottom right (except when you're
fullscreen).

Thanks I will check into this.

In The VirtualBox in USB ab select ( enable USB controller and Enable USB 2.0
(EHCI Controller)

Something just occurred to me, have you set up a shared folder in
Virtualbox? I have one called VMShared and it makes it easy to share files.
I save them in my Windows VM to this folder which shows in Windows under the
network folders and in my home folder of Ubuntu as VMShared. Then I can move
files back and forth easily. This is especially useful for large files such
as videos.