When using Windows virtual machines provided on Linux Workstations, you are strongly recommended to save data per session. All data will be lost when the virtual machine is rebuilt as needed without notice. There are several ways through which you can save files:
Click on "OK" to finish or add other shared folders if needed
Now you are ready to start Windows VM and save files in the home directory: under "Network / VBOXSVR / MyDescription", the UNC equivalent: \\VBOXSVR\MyDescription.
To save files on USB, your can use "Shared Folders" similar to home directory