"There is a new option now in VirtualBox 4.1 to copy a VDI with a new format (including VHD), which is equivalent to the command Derek P pointed out last year, but in a nice GUI.
Open Virtual Box and select Files > Virtual Media Manager. Select an existing disk file on the Hard Disks tab and click the Copy button. Complete the steps in the wizard. Select VHD when prompted for the file type."