deb http://download.virtualbox.org/virtualbox/debian lenny non-free
Then I executed "au" (au is an alias for apt-get update in grml), followed by "agi virtualbox-3.2" (agi is an alias for apt-get install in grml). Then I could run virtualbox for the first time by calling "VirtualBox" from shell. I then installed Windows XP and everything went smoothly. The default of guest os's networking type is NAT mode. However, I wanted to use bridged mode as I think it will be fair for my guest os to co-exist in the same LAN as other computers. I then told VirtualBox I wanted to use bridge mode networking which was when it printed out some error message which I couldn't remember.
Anyway, after some researching I found out that after a fresh installation of everything, I also needed to install "dkms" package by:
# agi dkms
Then I restarted VirtualBox and I now can use bridge mode networking with the Guest OS under VirtualBox.