I downloaded an .iso of Ubuntu Server 14.04.3 LTS for a VM in VirtualBox. After applying all the settings for a new VM, I hit the green arrow Show icon to run on the top menu (with Ubuntu highlighted below). There was a list of OS iso files, but none were the right one. I pressed the little folder icon to select the file and got an error message.
The workaround is to go back into VirtualBox and hit the golden cog Settings icon. Select Storage. There’s a little CD with a down arrow icon on the right. Click that and select you .iso file. Now, everything should work like a champ.