I had this Virtual machine on my windos 7 and I had many linuxs and also a winxp, they had internet connection perfectly by NAT on virtual machine and sharing the connection on windows 7.
I installed Cisco anyconnect vpn client and I had to un-share my internet connection for that to work properly. When I want to use my virtual XP I should share my connection again, BUT since I have installed annyconnect, my virtual pcs can't use internet anymore, even when I share my connection. I figured out that virtual xp pings up to my windows 7 ip address, and it doesn't go any further, even the gateway which win 7 is directly connected to, seems like my windows 7 doesn't let this connection to go out of win 7, it definately smells like firewall. Now I doubt that it might be something about this annyconnect, coz before installing this I didn't have such problem. and it is not only virtual xp, it's all of my virtual PCs.