In this paper we present an immersive brain computer interface (BCI) where we use a virtual reality head-mounted display (VRHMD) to invoke SSVEP responses. Compared to visual stimuli in monitor display, we demonstrate that visual stimuli in VRHMD indeed improve the user engagement for BCI. To this end, we validate our method with experiments on a VR maze game, the goal of which is to guide a ball into the destination in a 2D grid map in a 3D space, successively choosing one of four neighboring cells using SSVEP evoked by visual stimuli on neighboring cells. Experiments indicate that the averaged information transfer rate is improved by 10% for VRHMD, compared to the case in monitor display and the users feel easier to play the game with the proposed system.