Prevent Ubuntu 14.04 from locking on virtualbox if Windows is locked

As thomasa88 suggests, the Win+L command to lock your screen will be received by both your host OS (Windows 7) and your guest OS (Ubuntu).

You have two options to solve this:

1. While in your guest OS and wishing to lock your computer screen, navigate via the GUI to the host OS taskbar and lock the computer via the "Lock" option. This will prevent your guest OS from also locking.
2. Change the keyboard shortcut for screen-locking in your guest OS. Follow this solution for Ubuntu: Remap Ubuntu keyboard keys

Here is a screenshot of the final step:

(I don't currently have sufficient reputation to add a comment, so I'm providing this answer.)