The paper describes the design of an innovative virtual reality (VR) system, based on a combination of an olfactory display and a visual display, to be used for investigating the directionality of the sense of olfaction. In particular, the design of an experimental setup to understand and determine to what extent the sense of olfaction is directional and whether there is prevalence of the sense of vision over the one of smell when determining the direction of an odor, is described. The experimental setup is based on low-cost VR technologies. In particular, the system is based on a custom directional olfactory display (OD), a head mounted display (HMD) to deliver both visual and olfactory cues, and an input device to register subjects' answers. The paper reports the design of the olfactory interface as well as its integration with the overall system.