25 of 41Image
As can be seen from the text, something called Virtual Machine Additions (VMAs) must be installed in order for this feature to work (right now, accessing the setting is impossible because it is greyed out). It also must be installed to enable file sharing between VMs or between a VM and the host system (see next image). Installing VMAs is easy (from the menus that are a part of a single running virtual machine's window). There's a reason they can't be installed when the virtual machine is created (an obvious question). More on that in a couple of images.
For David Berlind's write-up on The Virtual PC 2007 User Interface, see his post in ZDNet's TestBed blog.