A proof of concept virtual reality system is presented that integrates ultrasonic feedback sensations to provide a demonstrative virtual reality exposure therapy environment containing multiple scenarios with virtual spiders. This system and environment were utilised to conduct a study containing 35 participants with the goal of investigating the effect the environment could have on their level of anxiety. This level of anxiety was measured in three different forms: changes in frontal asymmetry analysis of EEG data, changes in skin conductance levels and subjective units of distress. The Fear of Spiders Questionnaire was used to determine which participants in the study reported to be moderately afraid of spiders. For these participants all three measurement forms for anxiety showed statistically significant increases in a comparison between baseline and scenarios with the virtual spiders. A statistically significant correlation between scores on the Fear of Spiders Questionnaire and changes in anxiety shows the system to have had a greater effect on the anxiety levels of those who were more afraid of spiders, than those who were not. There was also a statistically significant correlation discovered between immersion and increase in anxiety, highlighting the significance of immersion in future virtual reality exposure therapy applications.