Cognitive load triggers the researchers' interest in various fields. In the context of education and training, maintaining an optimal cognitive load is crucial to keep learners engaged, ensuring that the content aligns with their skill levels. However, assessing cognitive load is challenging. In the literature, several methods have been proposed mainly through questionnaires, performance metrics and physiological sensors. In this paper, we propose an experiment in virtual reality where four different tasks has been designed to stimulate different levels of cognitive load. We compare three different ways of measuring the cognitive load to estimate the validity of physiological measures. The findings suggest that, to some extent, the physiological measures are well-suited for assessing cognitive load in the context of this study. This research contributes valuable insights to the ongoing exploration of effective cognitive load measurement methodologies.