Open Windows Firewall for XDebug
The simplest approach that I found: Windows Advanced Firewall (where you add/remove rules) -> right-click -> Properties (another place for en/disabling Local/Domain/Public firewalling)
Each off the three scopes (Local/Domain/Public) has a setting to exclude firewall-processing for specific network interfaces completely (!)
Turn of windows firewall for any vmware/virtualbox network interface. (unless you require it against your virtual machine)
This will allow any connection from your guest, to your host machine.
There is a problem with Virtualbox network host-only interface since it is loopback interface and Windows manage it in a diffrent way.
Easy way to solve this is to open 'regedit'. Search for 'HKLM:\system\CurrentControlSet\control\class{4D36E972-E325-11CE-BFC1-08002BE10318}'. There is plenty of interfaces. Simply look one named 'VirtualBox Host-Only Ethernet Adapter'. Then add new DWORD(32) key named '*NdisDeviceType' and value '1' (hex). Reboot.
I don't know if there is a need to add standard fw rules like host port 9000 allow for all, since i had it already.
More about it - http://brianreiter.org/2010/09/18/fix-virtualbox-host-only-network-adapter-creates-a-virtual-public-network-connection-that-causes-windows-to-disable-services/