I was testing the networking under VirtualBox 2.2 environment. By default, the network adapter is set to NAT. The adapter gets an intranet IP and the host computer serves as a rounter. This works fine without any additional configuration. The problem is you cannot use VPN for it.
In order to use VPN, you have to set up the network adapter to attach to a bridged network. In this configuration, your virtual machine is like attached to the Internet directly. The VituralBox user manual 6.5 has some details about this.
When I tried to use the bridged network, I found that it’s not working for me. The option to select the network adapter is not available. I found a post about a similar problem and the fix is just to uninstall VirtualBox and re-install it again. This approach did not work for me because I cannot uninstall VirtualBox.
So, I ran the installer one more time and choose to Repair the installation. Luckily, it worked this time. After I rebooted the machine, I was able to choose the network adapter as the bridged network.