Much like setting up a shared folder on a Linux host and a Windows guest, you need to create the folder to share on your host system and add it to your shared folders list in Virtualbox. You also need a mountpoint inside your virtual system (in this case: /mnt/VirtualBoxExchange).
Mounting it is done with the command

mount -t vboxsf VirtualBoxExchange /mnt/VirtualBoxExchange

Done.