This is from the Virgin Megastore Webite:~
"However, times they are a-changin’, and sad but true - Virgin Megastores are no longer open in the UK, Ireland, Spain, US, Canada and Japan, while the Virgin Megastores in Australia are currently run by Sanity Entertainment"
Looking on Google Maps(as suggested by Zac) shows it to have changed into a Zavvi shop, who of course went under at the start of the year.
Unfortunately further than this closure(Feb 2009) I can't say what it has become (I hope someone will) but I am sure it won't stay empty long.
Oxford Street, unlike many provincial towns never seems to have empty shops very often