I probably say this a lot by now, but if all else fails you're welcome to use the Standalone version and use connectify instead of virtual router plus. In any event:
Either attempt to allow the connect through your firewall, make sure your connections securities are set correctly or
1. Open Network Sharing and Center.
2. Click Change adapter settings at the left tab.
You window will be like this :

3. Right click Wireless Network Connection 2.
4. Click disable. Then right click again and click enable.
5. Open Virtual Router Manager and Start Virtual Router.