Generally speaking, Virtual Machines are walled off almost completely from the host operating system. Usually, the only connection from the VM to the host which is "visible" to programs running in the VM is the virtual network connection. So an infection could be transferred from a VM to a host if you transfer an infected file over the virtual connection or the malware in the VM can copy itself to other computers over a LAN.
Since you're posting in the Linux forum, I'm assuming that your main operating system is Linux and that you are (or want to) running Windows in a virtual machine like VMware, VirtualBox, or QEMU. Should the virtualized Windows session get infected the Linux host will not
Cross-platform malware is extremely, staggeringly rare. This is partly because Windows and Linux have different formats for executable files. Windows uses the Portable Executable (PE) format whereas Linux uses the Executable and Linkable Format (ELF) which are not compatible. However, their have been examples of malware which takes advantage of platform-independent or 'workalike' runtime environments such as .NET/Mono and java [Link
The long and short of it, though, is that provided the host and guest operating systems are different (like Linux and Windows) then there is only an extremely remote and purely theoretical danger of anything like this happening.