I just use one of the free Windows security programs (can't remember which at the moment - probably Zone Alarm) to completely block access to and from the Internet for VPC. All my Internet surfing, downloading, emailing is done with OS X. Haven't had any problems yet.
I don't use VPC for anything except for fun (I'm fascinated by emulators), so I'm not going to buy an Internet security program to protect a virtual machine.
Also, I only share a single subfolder.