Open Windows Firewall for XDebug
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.
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.
In general, it's easier to not specify rules in terms of protocols or port ranges. Rather, just let the the program executable have a firewall exception for everything. So instead of creating a rule for port 9000, just create a rule for "xdebug.exe", but don't limit it to just port 9000.
Control Panel->Windows Firewall -> click "Allow an app or feature through Windows Firewall", then add xdebug.exe (or whatever the executable name is). This will add a new set of inbound rules (one for UDP and another for TCP). Go back to the advanced settings page, find the new inbound rules that were created, and inspect each to validate thatl the "Scope" checkboxes are set (private, domain, public).
There's a way to turn on firewall logging so you can discover what is getting blocked when the firewall is on. Then you can add rules as appropriate.
http://technet.microsoft.com/en-us/library/cc787462(v=ws.10).aspx