Old-Polack, the screenshots you have shown me for installing the Virtualbox Guest Additions look very much like a Windows wizard : am I wrong ? When I install guest additions from the main window of the virtualbox, it opens the vbox guest addition iso in a pcmanfm window where I can execute the sh file or the run for the install (provided I'm root in console or in the pcmanfm window).
I was wondering if you were using vbox 4.0.4 in a Windows install ? Or maybe in a Windows installed in the virtual machine ?