If you are using XP Mode, USB devices can be used in two different ways: Sharing and Redirection.
In a Windows XP Mode,
Integration features is enabled by default. Storage devices, Printers and Smart cards can be used without having to redirect the device manually, by simply sharing it with the host.
Sharing requires the devices are available in both XP Mode and Host OS. If not, you need to use redirect device to Virtual Machine.
Plug in the USB device to the system.
Then in the virtual box click USB, click the USB modem which you need to install.
The Virtual Machine will detect the modem and install it.