Virtual Reality (VR) has emerged as a novel paradigm for immersive applications in training, entertainment, rehabilitation, and other domains. In this paper, we investigate the automatic classification of mental workload from brain activity measured through functional near-infrared spectroscopy (fNIRS) in VR. We present results from a study which implements the established n-back task in an immersive visual scene, including physical interaction. Our results show that user workload can be detected from fNIRS signals in immersive VR tasks both person-dependently and -adaptively.