A pop-up will appear on the Desktop of MX Linux, click on the File Manager option. The article gives you a brief idea For installing VirtualBox Guest Additions on Ubuntu 20.
Select Linux as Type from the drop down and select Debian (64bit) as version and click Next How to Install MX Linux in VirtualBox on Windows 10 a 2021 Tutorial. I then create an RDC connection to the remote computer through the VPN.