You simply set the network card connected/attached to LAN as a Bridged Interface in VirtualBox (
LAN is usually the first interface defined in OpenWrt, WAN is second). The Windows machine should get an IP automatically, as usual.
If you don't wanna use or don't have a second PHY, you can use the Host-Only Adapter (it can be added to a br-lan, but that gets more complex).
It's really out of the scope of OpenWrt on how you connect to the PHYs - but I hope that give you 2 simple methods.